When I had high anxiety I started taking cold showers, or at least turning the water to cold for half a minute at the end of the shower. After the initial shock you get used to it and realise it's not that bad and is easily tolerable. At the same time I would think of the things that would trigger my anxiety and realise that they were also not that bad and were tolerable. This in turn reduced anxiety and avoidance. It's about changing the way you think while physically enduring mild discomfort. It works on several levels.