Addressing climate change requires increased public engagement in pro-environmental behaviors worldwide. While climate anxiety is often viewed as a negative psychological response, this study explores whether it can also motivate people to take positive environmental action. We examine how climate anxiety relates to pro-environmental behavior through the role of environmental self-efficacy—the belief that one can make a difference. When people experience moderate levels of climate anxiety, it may strengthen their confidence to act, whereas high anxiety can reduce this confidence. The study also considers how environmental self-identity and stress mindset influence this process. People who see themselves as environmentally conscious, or who focus on solving problems rather than emotions, are more likely to turn their anxiety into action. Two studies were conducted: a survey (Study 1) and an experiment (Study 2). Results show that climate anxiety has a curvilinear relationship with pro-environmental behavior—medium levels of anxiety lead to the highest participation. Environmental self-efficacy helps explain this pattern. Self-identity and mindset also shape how people respond to their anxiety. These findings help clarify when and why climate anxiety may lead to positive behavior change, offering practical suggestions for policymakers and educators.