China is currently undergoing a critical phase of rapid social transformation. During this period, members of society inevitably face multiple pressures, including professional competition, economic burdens, and social change, which exacerbate social anxiety. As a new engine for advancing Chinese modernization, the vigorous development of the digital economy offers an opportunity to alleviate social anxiety. However, existing literature on social anxiety remains scarce, and no empirical studies have yet examined the intrinsic link between digital economy development and social anxiety, along with the underlying mechanisms and heterogeneity. This paper employs the Baidu Search Index of “anxiety”-related keywords as a quantitative proxy for social anxiety and combines it with panel data from 293 prefecture-level cities in China spanning 2011 to 2023. Using a two-way fixed effects model, this paper empirically investigates the impact of the digital economy on social anxiety. The results show that digital economy development significantly alleviates social anxiety, and this finding remains robust after a series of endogeneity and robustness checks, including instrumental variable tests, exogenous policy shock tests, alternative clustering levels, and lagged control variables. Mechanism analysis indicates that the digital economy mitigates social anxiety through three channels: expanding employment opportunities, improving air quality, and narrowing income disparities. Heterogeneity analysis reveals that the anxiety-alleviating effect of the digital economy is particularly pronounced in small and medium-sized cities, central and western regions, and non-resource-based cities in China. Moreover, the effect is significantly stronger in cities with higher human capital, more advanced industrial structures, and greater innovation capacity. Compared with prior literature, this study offers three marginal contributions. First, from a research perspective, it is the first to empirically examine the relationship between the digital economy and social anxiety at the prefecture-level city scale, thereby expanding the scope of research on determinants of social anxiety. Second, in terms of theoretical mechanisms, this paper constructs a tripartite theoretical framework encompassing employment, environment, and income distribution perspectives to elucidate the impact pathways of the digital economy on social anxiety. It also empirically tests the existence of employment creation effects, environmental improvement effects, and income redistribution optimization effects, which helps to enhance the understanding of the intrinsic relationship between digital economy development and social anxiety alleviation. Finally, in the heterogeneity analysis, this paper further examines the differential impacts of the digital economy on social anxiety across multiple dimensions, including urban scale, geographic location, resource endowment, human capital levels, industrial structure, and innovation capacity, providing useful insights for advancing the digital economy and improving the social psychological service system. To a certain extent, our research reveals the intrinsic logic between the development of the digital economy and the alleviation of social anxiety, provides novel empirical evidence for understanding the social effects of the digital economy, and enriches the theoretical framework of social anxiety determinants. The findings offer empirical support for leveraging the social benefits of the digital economy and provide actionable implications for effectively mitigating social anxiety.