Although the importance of proper pharmacological treatment for preventing the relapse/recurrence of anxiety disorders is well known, a real-world data-based study has not been conducted. We aimed to investigate the effect of the initial pharmacological patterns related to continuous treatment and the choice of medication on the relapse/recurrence of anxiety disorders. We used claim data from the Health Insurance Review and Assessment Service, South Korea, of 34,378 adults who received psychiatric medications, including antidepressants, after being newly diagnosed with anxiety disorders. We compared the relapse/recurrence rate in the patients receiving continuous pharmacological treatment with those who discontinued treatment early using Cox’s proportional-hazards model. Patients receiving continuous pharmacological treatment experienced a higher risk of relapse/recurrence than those who discontinued treatment. Using three or more antidepressants during the initial treatment period decreased the risk of relapse/recurrence (adjusted hazard ratio (aHR) = 0.229 (0.204–0.256)); however, the combined use of antidepressants from the beginning of treatment increased the risk (aHR = 1.215 (1.131–1.305)). Factors other than continuous pharmacological treatment should be considered to effectively prevent the relapse/recurrence of anxiety disorders. The active use of antidepressants, including switching or adding medications based on progress and frequent follow-up visits during the acute phase, were significantly associated with a reduction in the relapse/recurrence of anxiety disorders.