A great deal of research aims to identify risk factors related to individual vulnerability to develop stress-induced psychopathologies. Here, we summarize evidence that point at anxiety trait as a significant contributor to inter-individual differences in stress-vulnerability. Specifically, we underscore high anxiety trait as a key vulnerability phenotype. Highly anxious individuals show both behavioral alterations and cognitive deficits, along with more reactive physiological stress responses. We discuss efforts and progress towards the identification of genetic variants and polygenetic scores that explain differences in trait anxiety and vulnerability to stress. We then summarize molecular alterations in the brain of individuals with high anxiety trait that can help explaining the increased vulnerability to stress of these individuals. Variation in such systems can act as risk factors, which in combination with severe/prolonged stressful life events can pave the way towards the development of depression. Our viewpoint implies that the consideration of high anxiety trait as a key vulnerability phenotype in stress research can support the overall aim to obtain improved or novel therapeutic approaches.