Stress and anxiety have intertwined behavioral and neural underpinnings. These commonalities are critical for understanding each state, as well as their mutual interactions. Grasping the mechanisms underlying this bidirectional relationship will have major clinical implications for managing a wide range of psychopathologies. After briefly defining key concepts for the study of stress and anxiety in pre-clinical models, we present circuit, as well as cellular and molecular mechanisms involved in either or both stress and anxiety. First, we review studies on divergent circuits of the basolateral amygdala (BLA) underlying emotional valence processing and anxiety-like behaviors, and how norepinephrine inputs from the locus coeruleus (LC) to the BLA are responsible for acute-stress induced anxiety. We then describe recent studies revealing a new role for mitochondrial function within the nucleus accumbens (NAc), defining individual trait anxiety in rodents, and participating in the link between stress and anxiety. Next, we report findings on the impact of anxiety on reward encoding through alteration of circuit dynamic synchronicity. Finally, we present work unravelling a new role for hypothalamic corticotropin-releasing hormone (CRH) neurons in controlling anxiety-like and stress-induce behaviors. Altogether, the research reviewed here reveals circuits sharing subcortical nodes and underlying the processing of both stress and anxiety. Understanding the neural overlap between these two psychobiological states, might provide alternative strategies to manage disorders such as post-traumatic stress disorder (PTSD).