The clinical efficacy of standardized essential oils (such as Lavender officinalis), in treating anxiety disorders strongly suggests that these natural products are an important candidate source for new anxiolytic drugs. A systematic review of essential oils, their bioactive constituents, and anxiolytic-like activity is conducted. The essential oil with the best profile is Lavendula angustifolia, which has already been tested in controlled clinical trials with positive results. Citrus aurantium using different routes of administration also showed significant effects in several animal models, and was corroborated by different research groups. Other promising essential oils are Citrus sinensis and bergamot oil, which showed certain clinical anxiolytic actions; along with Achillea wilhemsii, Alpinia zerumbet, Citrus aurantium, and Spiranthera odoratissima, which, like Lavendula angustifolia, appear to exert anxiolytic-like effects without GABA/benzodiazepine activity, thus differing in their mechanisms of action from the benzodiazepines. The anxiolytic activity of 25 compounds commonly found in essential oils is also discussed.