The coronavirus disease 2019 (COVID-19) pandemic threatens human beings’ livelihoods and mental health, which lowers their well-being and gives rise to anxiety. This study examines whether there is a causal relationship (and, if so, in which direction) between people’s well-being and COVID-19 anxiety. Two hundred and twenty-two participants (54.50% female, Mage = 31.53, SD = 8.17) from 26 provinces of China completed measures of subjective well-being (SWB) and COVID-19 anxiety at three key nodes of the development of COVID-19 in China. The results showed that people’s SWB and COVID-19 anxiety fluctuated with the peak (T1), decline (T2), and trough stages (T3) of the COVID-19 pandemic. Meanwhile, the cross-lagged analysis showed that the participants’ SWB at T0 (pre-pandemic stage; the base level of SWB) and T1 could significantly predict their COVID-19 anxiety at T1 and T2 respectively. However, SWB at T2 was not associated with the COVID-19 anxiety at T3. Furthermore, COVID-19 anxiety could not predict subsequent SWB from T1 to T3. The current findings contribute to clarifying the causal relationship between well-being and anxiety through the development of epidemics, as well as finding ways to alleviate people’s COVID-19 anxiety.Supplementary InformationThe online version contains supplementary material available at 10.1007/s10902-021-00385-2.