The phenomenon of worry is considered to arise from cognitive processes involved in anxiety, that serve to maintain high levels of vigilance for personal danger. Rather than rely on self-report alone, the research described here draws on information processing methodology, to investigate this hypothesized cognitive function. Evidence is summarized to show that anxious subjects selectively attend to threatening information, and interpret ambiguous events in a relatively threatening way. However, the evidence on memory suggests that although such information may be easily activated, it is not necessarily more accessible. The allocation of attentional priority to threatening information is seen as a characteristic of anxious (rather than depressed) mood, while the ease with which this processing mode is adopted may underlie trait anxiety and vulnerability to anxiety disorders.