With depictions of others facing threats common in the media, the experience of vicarious anxiety may be prevalent in the general population. However, the phenomenon of vicarious anxiety—the experience of anxiety in response to observing others expressing anxiety—and the interpersonal mechanisms underlying it have not been fully investigated in prior research. In 4 studies, we investigate the role of empathy in experiencing vicarious anxiety, using film clips depicting target victims facing threats. In Studies 1 and 2, trait emotional empathy was associated with greater self-reported anxiety when observing target victims, and with perceiving greater anxiety to be experienced by the targets. Study 3 extended these findings by demonstrating that trait empathic concern—the tendency to feel concern and compassion for others—was associated with experiencing vicarious anxiety, whereas trait personal distress—the tendency to experience distress in stressful situations—was not. Study 4 manipulated state empathy to establish a causal relationship between empathy and experience of vicarious anxiety. Participants who took an empathic perspective when observing target victims, as compared to those who took an objective perspective using reappraisal-based strategies, reported experiencing greater anxiety, risk-aversion, and sleep disruption the following night. These results highlight the impact of one’s social environment on experiencing anxiety, particularly for those who are highly empathic. In addition, these findings have implications for extending basic models of anxiety to incorporate interpersonal processes, understanding the role of empathy in social learning, and potential applications for therapeutic contexts.