The reason for anxiety is because the intestinal tract does not have enough good bacteria to create the B12 or serotonin needed to calm the nervous system. Taking probiotics will encourage good bacteria in the intestinal tract. Taking supplements or drugs are a temporary fix but they will work in an emergency situation. A good film to watch is: The Gut; Our Second Brain. It explains it perfectly.
I suffered with crippling anxiety for about 9 years (at first it was just feeling sick when I was out in a place I knew I couldn't just leave... Then it turned to agoraphobia). I was put on every anti anxiety med at one point or another throughout those years. I tried yoga, therapy, herbal remedies and a few self help programs. Finally, I went to see a naturopathic doctor for the first time. She realized that, while I didn't feel sick to my stomach all the time, my anxiety was caused by imbalances of the gut. Enter a broad spectrum enzyme at meals and probiotics (I started with 50 BILLION dose and now I take a maintenance dose of 16 Billion). That really helped my particular anxiety.
However, while I was waiting for my gut to heal and these two treasures to do their thing, she also had me taking 200 mg of L-theanine, a component found in green tea in smaller doses. This is the most reassuring little supplement! It takes about 15 minutes to kick in and you just feel more in control. It worked better than any anxiety med I was taking and it has no side effects. I highly recommend it - it's worked for the rest of my family and a few friends. Look it up on the web - there's lots of good third party sites about the effects.