Cold immersion evokes the life-threatening cold shock response (CSR). We hypothesised that anxiety may increase the magnitude of (Study 1), and diminish habituation to (Study 2), the CSR. Study 1: eleven participants completed two 7-min immersions in cold water (15 °C). On one occasion, to induce anxiety, participants were instructed that the water would be 5 °C colder (ANX); it was unchanged. The other immersion was a control (CON). Study 2: ten different participants completed seven, 7-min immersions. Immersions 1–5 induced habituation. Immersions 6 and 7 were counter-balanced to produce anxiety (ANX) or acted as a control (CON). Anxiety (20 cm scale) and cardiorespiratory responses (cardiac frequency [f c]), respiratory frequency [f R], tidal volume [VT], minute ventilation [VE]) were measured in both studies. Results of study 1: participants were more anxious in the ANX immersion (mean [SD]; CON 5.3 [3.6] and ANX 8.4 [5.0] cm). f c peaked at higher levels in ANX (136.4 [15.0]; CON: 124.0 [17.6] b min−1) and was higher pre-immersion and in minutes 3 and 5–7 by 7.2 [2.1] b min−1. ANX VE was higher pre immersion and in minutes 5–6. Results of study 2: repeated immersion habituated the CSR. Anxiety was greater prior to ANX (CON 1.9 [2.3], ANX 6.6 [4.8] cm). f c in ANX was higher prior to immersion and in minutes 1–2, 4–6 cf CON; ANX f c was not different to the CSR seen in pre-habituation. f R was higher in minute 1 of immersion 1 (cf min 1 CON and ANX) following which it exceeded the CSR in CON. The magnitude and duration of CSR (f c, VE) increased with anxiety. Anxiety diminishes CSR habituation.