The beneficial influence of listening to music on anxiety states has often been discussed. However, the empirical evidence and theoretical mechanisms underlying these effects remain controversial. The aim of this study is to conduct a meta-analysis of randomized controlled trials on the effects of music on anxiety in healthy individuals. A comprehensive search in the PsycINFO, Cochrane Library, PubMed and Web of Knowledge databases produced 19 articles complying with the eligibility criteria. The main results of the study reveal an overall decrease in self-reported anxiety (d = −0.30, 95% CI [–0.55, –0.04]); however, the decrease was not significant for psychophysiological signals related to anxiety. Nevertheless, in several cases, listening to music greatly affects blood pressure, cortisol level and heart rate. The great heterogeneity of the studies and the lack of rigorous methodological standards, assessed with CONSORT guidelines, may have biased the results. Thus, listening to music should be cautiously considered as a part of more complex music-based psychological interventions for anxiety regulation. Nonetheless, as discussed in this article, the role of underlying processes (spontaneous memory recollections, mental imagery) must not be neglected. Further research perspectives are discussed.