Anxiety is a prevalent mental state that commonly appears in daily life, and how electroencephalographic (EEG) signals respond to anxiety triggers remains poorly understood. This study aims to investigate the changes in EEG signals that respond to anxiety stimuli, at different levels of anxiety. The EEG data during exposure to the stimuli and the time immediately after exposure is analysed using both numerical computation and wavelet transform techniques. Interestingly the stimulus decreased anxiety in severely anxious participants but slightly increased anxiety in normal participants. This helps understand time effects of anxiety stimuli and aids future clinical assessments and interventions.