Background: Threat anticipation engages neural circuitry that has evolved to promote defensive behaviours; perturbations in this circuitry could generate excessive threat-anticipation response, a key characteristic of pathological anxiety. Research into such mechanisms in youth faces ethical and practical limitations. Here, we use thermal stimulation to elicit pain-anticipatory psychophysiological response and map its correlates to brain structure among youth with anxiety and healthy youth. Methods: Youth with anxiety (n = 25) and healthy youth (n = 25) completed an instructed threat-anticipation task in which cues predicted nonpainful or painful thermal stimulation; we indexed psychophysiological response during the anticipation and experience of pain using skin conductance response. High-resolution brain-structure imaging data collected in another visit were available for 41 participants. Analyses tested whether the 2 groups differed in their psychophysiological cue-based pain-anticipatory and pain-experience responses. Analyses then mapped psychophysiological response magnitude to brain structure. Results: Youth with anxiety showed enhanced psychophysiological response specifically during anticipation of painful stimulation (b = 0.52, p = 0.003). Across the sample, the magnitude of psychophysiological anticipatory response correlated negatively with the thickness of the dorsolateral prefrontal cortex (pFWE < 0.05); psychophysiological response to the thermal stimulation correlated positively with the thickness of the posterior insula (pFWE < 0.05). Limitations: Limitations included the modest sample size and the cross-sectional design. Conclusion: These findings show that threat-anticipatory psychophysiological response differentiates youth with anxiety from healthy youth, and they link brain structure to psychophysiological response during pain anticipation and experience. A focus on threat anticipation in research on anxiety could delineate relevant neural circuitry.