Anxiety is one of the most common mental health disorders in the world. Although acoustic and visual environments are known to influence many other aspects of mental health, we know little about their independent and interactive effects on the levels of anxiety of high-density city dwellers. We conducted a laboratory experiment using a two-way factorial design (four visual environments × five acoustic environments) and randomly assigned participants to 20 treatment conditions. Before exposure to a condition, they engaged in the Trier Social Stress Test to induce a moderate level of anxiety. A total of 223 urban dwellers reported their anxiety level before and after a randomly assigned environmental treatment. The results showed that acoustic and visual environments had significantly interactive influence on anxiety relief. The impact of acoustic environments on anxiety relief was 4.67 times greater than the impact of visual environments. Environments with more natural features, regardless of whether they were acoustic or visual, played a greater role in reducing anxiety than environments with more artificial features. The combination of green scenes and fully natural sounds gave a significantly greater anxiety relief than any other acoustic-visual environments. The implications of these results for planning and design in high-density cities are discussed.