The impact of clinical anxiety on learning and decision-making is well-established. However, the influence of temporary anxiety states on optimal learning and belief updating in healthy individuals remains less explored. In this study, we investigated how anxious states affect the process of forming and revising sensorimotor predictions. Study participants engaged in a virtual reality interceptive task while we manipulated performance incentives to induce situational pressure. We then assessed changes in physiological arousal, self-reported anxiety levels, task performance, and eye movement patterns. Employing Bayesian computational models of perception, we analysed how quickly predictive eye movements were adjusted across multiple trials. The results revealed that heightened anxiety led to a slower rate of updating predictive eye movements, accompanied by an increase in visual exploration of the environment. These findings deepen our understanding of how emotional states, like anxiety, interact with active inference behaviours. Specifically, they highlight the limitation imposed on updating predictive sensorimotor behaviours during anxious conditions. We discuss the implications of these findings within the context of theoretical frameworks such as the free energy principle, which conceptualises anxiety as a state of internal entropy that organisms seek to alleviate.