Cold showers have helped me with muscle recovery, and while I don't suffer with anxiety they always feel like the help to create more energy and focus for me.

I love doing them in the summer, but not quite as tempting in the winter.

Also I highly recommend trying the Wim Hoff breathing technique before turning the shower cold as it really helps you to be able to stay in longer and get maximum benefit from the cold therapy. The breathing technique it's self has also been used with treating anxiety.