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Aim: COVID-19 has had significant mental health impacts internationally and anxiety rates are estimated to have tripled during the pandemic, but the specific causes remain underexplored. This study's purpose was to investigate the associations of sociodemographic factors, COVID-19-related policies, and COVID-19 case/mortality rates with levels of anxiety among Canadians during the pandemic., Methods: This study used linear regression models populated with three integrated sources of data: a repeated cross-sectional survey (n = 7008), Oxford COVID-19 Government Response Tracker data, and COVID-19 case/mortality rates. Sociodemographic factors included were age, gender, race, province, income, education, rurality, household composition, and factors related to employment., Results: Local COVID-19 case and mortality rates and stay-at-home orders were positively associated with anxiety symptom severity. Anxiety was most severe among those who: were female, Indigenous, or Middle Eastern; had postsecondary education; lived with others; and became unemployed or had working hours altered during the pandemic. Anxiety was less severe among: older adults; male, Caucasians, and black individuals; those with high incomes, and; those for whom employment did not change during the pandemic., Conclusion: Anxiety was primarily driven by socioeconomic factors among Canadians during the COVID-19 pandemic. Policies that alleviate socioeconomic uncertainty for groups that are most vulnerable may reduce the long-term harm of the pandemic and associated lockdown policies., (© 2022 The Authors. Psychiatry and Clinical Neurosciences © 2022 Japanese Society of Psychiatry and Neurology.)