The COVID-19 pandemic has led to increased staffing needs in emergency departments. The question quickly arose as to whether it was appropriate to offer medical students the opportunity to assist this staff. The dilemma stems in part from the potential impact on their psychological well-being as well as their academic and clinical performances. We sought to determine the level of anxiety of medical students during the COVID-19 outbreak, and whether it was higher among the students who chose to return to the clinical setting, especially in first-line units (i.e., emergency departments and resuscitation units). In May 2020, 1180/1502 (78.5%) undergraduate medical students at Strasbourg Medical School (France) completed a questionnaire assessing their anxiety and clinical experience. A 2018 cohort of undergraduate medical students served as the baseline. The 2020 COVID cohort had higher rates of anxiety than the 2018 cohort. This difference was specifically observed in the students who chose not to return to the clinical setting during the crisis (N = 684, 59%). At linear regression, the main factors associated with anxiety were gender (p < 0.005) and perceived clinical activity personal conditions (p < 0.001). Employment site, including COVID first-line units, was not correlated with anxiety. Working in the clinical setting during the COVID-19 outbreak is not a risk factor for anxiety in medical students. Instead, it is an active coping strategy, suggesting that there are no barriers to allowing students to return to clinical settings during a pandemic, including first-line units, in terms of their psychological well-being.