The current study investigated whether trait anxiety was systematically related to task-set shifting performance, using a task-switching paradigm in which 1 task was more attentionally demanding than the other. Specifically, taking advantage of a well-established phenomenon known as asymmetric switch costs, we tested the hypothesis that the association between trait anxiety and task-set shifting is most clearly observed when individuals must switch away from a more attentionally demanding task for which it was necessary to effortfully establish an appropriate task set. Ninety-one young adults completed an asymmetric switching task and trait-level mood questionnaires. Results indicated that higher levels of trait anxiety were systematically associated with greater asymmetry in reaction time (RT) switch costs. Specifically, the RT costs for switching from the more attentionally demanding task to the less demanding task were significantly greater with higher levels of trait anxiety, whereas the RT costs for switching in the opposite direction were not significantly associated with trait anxiety levels. Further analyses indicated that these associations were not attributable to comorbid dysphoria or worry. These results suggest that levels of trait anxiety may not be related to general set-shifting ability per se, but, rather, that anxiety-specific effects may primarily be restricted to when one must efficiently switch away from (or let go of) an effortfully established task set.