The present study used a combination of the Threat-of-Shock paradigm and the Attention Network Test (ANT) to investigate how induced anxiety affects alerting, orienting, and executive control and whether individual differences in threat sensitivity moderate these effects. Forty-two female subjects completed the ANT task in alternation under shock-threat and no-shock ("safe") conditions while event-related potentials (ERPs) were recorded. The results showed that anxiety induced by the threat of shock had a significant impact on alerting and executive control functions at the neural level. Specifically, alerting-related N1 and stimulus-preceding negativity (SPN) differences between double cue and no cue conditions were greater in the threat versus safe state, suggesting that the induced anxiety promoted the early perception of cues and preparation for the target. Moreover, executive control-related P3 and sustained potential (SP) differences between incongruent and congruent trials were greater in the threat versus safe state, indicating that the induced anxiety might improve the attentional allocation efficiency and stimulate subjects to recruit more cognitive resources to resolve conflicts. However, orienting-related ERPs were not affected by the threat of shock, but the threat of shock promoted the processing efficiency of spatial-cue at the behavioral level. Analysis of individual differences revealed that trait anxiety moderated the attentional allocation efficiency when performing executive control related tasks in the threat versus safe state. Our findings demonstrate the adaptive significance of the threat of shock-induced anxiety in that being in an anxious state can enhance individuals' alerting, orienting, and executive functions.