I guess it really depends on the source of the anxiety, but if this is applicable, I'd recommend trying to analyse understanding why it happens.
Perspective can be a big first step in fighting anxiety
For example, I had to do some public speaking and was feeling quite apprehensive. Of all the things I read to try and make me feel better, the one that stuck with me most was an explanation of how our fear of public speaking is a natural innate reaction to the possibility of failure or feeling vulnerable in front of an audience.
We are biologically programmed to avoid such situations, so it's natural that training is required to overcome the problem.
I don't know if this same technique can help you deal with your anxiety, but rationalising tends to be therapeutic anyway.