Background <p>Adolescent depression and anxiety have risen in recent years, influenced by various factors, including academic pressure. This study explores how academic demands contribute to adolescent anxiety and examines the role of family environments and coping skills in mitigating these effects.</p> Methods <p>A cross-sectional design was used to analyze data from 5,244 students aged 11 to 17 in Hanoi, Vietnam, in 2021. Structural equation modeling (SEM) was employed to investigate the associations among adolescent anxiety (measured using the GAD-7 scale), academic pressure (measured using the AESI scale), coping skills, and family connectedness. Indirect and direct effects were estimated within the SEM framework, with statistical inference for mediation based on bootstrapped confidence intervals. Moderating effects were also tested, with standardized coefficients reported for structural paths.</p> Results <p>All six exogenous variables were significantly associated with adolescent anxiety (<i>p</i> &lt; 0.01). High academic pressure, excessive internet use, being female, and exposure to family violence were linked to increased anxiety. In contrast, better family connectedness and higher coping skills were associated with lower anxiety levels. Notably, family connectedness buffered the adverse effects of academic pressure on anxiety through several pathways.</p> Conclusions <p>Mitigating adolescent anxiety requires integrated strategies: academic policy reforms to reduce pressure, school-based coping skills training, and family-centered programs to strengthen connectedness. Such multi-level approaches are vital for promoting adolescent mental health.</p>