Background Anxiety disorders are one of the most common mental health disorders experienced by children, and they have a negative effect on social, academic, and health functioning. While traditional psychotherapy has focused on methods such as cognitive behavioural therapy and parental anxiety management to treat these children, interest is growing in animal-assisted therapy (AAT) as a therapeutic modality, and recent research suggests the benefits of AAT within the realms of psychotherapy for children with anxiety. Aim This review aimed to perform a critical appraisal of the available literature relating to dog-assisted psychotherapy for children with anxiety and investigate the effectiveness of this therapy method in reducing anxiety. Method This structured literature review was guided by the 12 steps recommended by Kable et al. (2012). The search was conducted in August and September 2021 through the databases ScienceDirect, PsycInfo, and PubMed to locate published peer-reviewed literature on the therapeutic benefits of including a dog in psychotherapy sessions for children with anxiety. After critical appraisal, 10 articles were included in the review. Results General agreement exists that dog-assisted therapy can boost positive emotions and reduce anxiety levels in children, and that interacting with dogs and experiencing their unconditional acceptance help reduce children’s stress and physical pain levels as well as stress in families. The key themes that emerged from this review included the human–animal bond, children’s attachment styles, hospitalisation and environmental considerations, the AAT methods used, and the effects of AAT. Conclusion This review revealed many benefits of the presence of a therapy dog during psychotherapy sessions, including reducing anxiety, increasing positive emotions, and enabling social interactions for children with anxiety. Counsellors and psychotherapists can feel confident to undertake the required training and implement the necessary systems to accommodate a therapy dog in their therapeutic setting in order to support children with anxiety. It is noteworthy that the positive effects of dog-assisted therapy were not consistent throughout the literature, and most research studies focused on children in hospital settings. Therefore, further research is required regarding the effectiveness and clinical implications of the nature, type of intervention, length, and duration of dog-assisted therapy.