The aim of this study was to analyze the relationship between coping and anxiety in caregivers of dependent older adult relatives. A cross-sectional study was carried out in the province of Jaén (Andalusia, Spain). The convenience sample consisted of 198 family caregivers of dependent older adults. The main measurements were anxiety (Hamilton scale), coping (Brief COPE), subjective burden (Caregiver Strain Index), objective burden and sex of the caregiver. The main analyses were bivariate analysis using the Pearson correlation coefficient, and multivariate analysis using multiple linear regression. An independent regression model was developed for anxiety and each type of coping, adjusting for sex, subjective burden and objective burden. Our results demonstrate that anxiety was negatively associated with planning (partial r = -0.18), acceptance (partial r = -0.22) and humor (partial r = -0.20), and it was positively associated with self-distraction (partial r = 0.19), venting (partial r = 0.22), denial (partial r = 0.27) and self-blame (partial r = 0.25). Planning, acceptance and humor coping strategies may be protective factors of anxiety. Strategies such self-management, relief, denial and self-blame may be risk factors for anxiety.