Sometimes it's not just the compound but the dose so if you are sensitive and go from nothing to 1 gram of a compound you usually feel great on (primo for example) that huge fluctuation could make you feel off. So I would always recommend if you are sensitive to mental and physical side effects you should always gradually move up in dose and start off low (even for long term results I find that approach optimal anyway). Everyone also responds differently and just because you suffer from anxiety it doesn't mean my list is for you but here is a brief outline of what I personally notice and I have experimented extensively.
Deca, Primo, Avar, Tbol, Adrol, Dbol, Nolva, Aromasin etc... all fine no issues.
Test and Mast... fine but if I take a decent amount (especially mast) I may feel a little off.
Tren, Eq, HCG... Horrible anxiety and usually within 1 day.