Anxiety and depression disorders show high prevalence rates, and stress is a significant risk factor for both. However, studies investigating the interplay between anxiety, depression, and stress regulation in the brain are scarce. The present manuscript included 124 law students from the LawSTRESS project. Anxiety and depression symptoms were assessed using the Hospital Anxiety and Depression Scale (HADS), and psychosocial stress was induced with the imaging stress paradigm ScanSTRESS. Anxiety, but not depression scores, were significantly related to neural stress responses in a striato-limbic cluster. Moreover, relative to women, men showed stronger associations between anxiety scores and activation in striatal and temporal clusters. A bifactor model of the HADS suggested a general factor characterized by tension, nervousness, and cheerlessness, which was associated with activation changes in a similar but more circumscribed cluster than anxiety. In the LawSTRESS project, the HADS was assessed at five sampling points (1 year, 3 months, 1 week prior exam, 1 week, and 1 month thereafter), and thus an exploratory trajectory analysis could be performed. It confirmed the relationship between anxiety scores and striatal stress responses at baseline but revealed no predictive value of the neural measure across the sampling points. Our results suggest that—in healthy young participants—neural acute psychosocial stress responses in striato-limbic structures are associated with anxiety, supporting the assumption that these regions are related to individual differences in vulnerability to stress-related disorders. A correlation with depression scores could not be found, and possible explanations are discussed.