Background: The rising prevalence of mental and psychological issues among immigrants has garnered increased attention due to the significant growth in immigrant populations in recent years. In this context, exploring the connection between psychological health, cognitive flexibility, brain-behavioral systems, and sensory processing in Iranian immigrants in Canada is becoming an essential research goal. Objectives: The aim of this study was to explore the relationships between psychological health, cognitive flexibility, brain-behavioral systems, and sensory processing among Iranian immigrants in Canada. Methods: A cross-sectional study design was used, gathering data from 400 Iranian students (198 males and 202 females) enrolled at universities in Canada and Iran. We collected participants' demographic details and assessed their psychological health, cognitive flexibility, brain-behavioral systems, and sensory processing through standardized instruments. Psychological health was evaluated using the Beck Anxiety Inventory, cognitive flexibility was measured with the Dennis and Vander Wall Cognitive Flexibility Questionnaire, and sensory processing was appraised via the adolescent/adult sensory profile. The Carver and White behavioral inhibition system (BIS)/behavioral activation system (BAS) scales were utilized to measure brain-behavioral systems. Statistical analyses, including correlation analysis and multivariate regression, were conducted to investigate the relationships among these variables. Results: The correlation analysis revealed significant positive associations between anxiety and low registration (r = 0.283, P < 0.001), sensory sensitivity (r = 0.442, P < 0.001), and sensory avoiding (r = 0.307, P < 0.001) in immigrant students. Anxiety also showed nonsignificant negative correlations with the behavioral activation system-drive (r = -0.042, P = 0.551) and behavioral activation system-reward responsiveness (r = -0.090, P = 0.203). The multivariate regression analysis found that low registration (B = 0.177, P = 0.036), sensory sensitivity (B = 0.336, P < 0.001), and cognitive flexibility (B = 0.119, P = 0.025) significantly predicted anxiety levels in immigrant students. An adjusted R-squared value of 0.191 indicated that these variables together explained 19.1% of the variance in anxiety levels. Conclusions: This study underscores the significant links between sensory processing patterns, cognitive flexibility, brain-behavioral systems, and anxiety among Iranian immigrant students. These findings highlight the need for interventions focusing on teaching cognitive skills strategies and increasing awareness of sensory needs to help reduce anxiety levels in this population.