Anxiety often is studied as a stand-alone construct in laboratory models. But in the context of coping with real-life anxiety, its negative impacts extend beyond aversive feelings and involve disruptions in ongoing goal-directed behaviors and cognitive functioning. Critical examples of cognitive constructs affected by anxiety are cognitive flexibility and decision making. In particular, anxiety impedes the ability to shift flexibly between strategies in response to changes in task demands, as well as the ability to maintain a strategy in the presence of distractors. The brain region most critically involved in behavioral flexibility is the prefrontal cortex (PFC), but little is known about how anxiety impacts PFC encoding of internal and external events that are critical for flexible behavior. Here we review animal and human neurophysiological and neuroimaging studies implicating PFC neural processing in anxiety-induced deficits in cognitive flexibility. We then suggest experimental and analytical approaches for future studies to gain a better mechanistic understanding of impaired cognitive inflexibility in anxiety and related disorders.