Introduction: PICU admission of a child may cause anxiety and stress among the caregivers. The criteria for admission to a PICU are terrifying and may legitimately cause parents to fear that their child may pass away or suffer a serious disability. They may be overburdened with stress and anxiety of illness and compliment medical information while trying to maintain a balance with other family demands. They must learn coping mechanisms and use resources to stay stable when they face challenges. Evidence on the coping mechanisms used by primary caregivers to control their stress and anxiety is scarce so this study assessed the anxiety and coping mechanism among the primary caregivers of children admitted in PICU. Materials and Methods: A cross-sectional study was conducted among 143 primary caregivers by using convenience sampling technique at PICU, AIIMS, Jodhpur, from April 31, 2021, to January 20, 2022. The participants were enrolled after obtaining informed consent and were interviewed by the researcher. Results: Study findings revealed that primary caregivers had 38% severe anxiety, 54% moderate anxiety, and 8% mild anxiety. They used emotion-focused coping (43.5%) followed by problem focused coping (37.2%) and avoidant coping (19.3%). Also, there was a significant association found between anxiety of primary caregivers and gender of the child (P = 0.012). Conclusion: Anxiety and stress are one of the expected psychological problems faced by caregivers of children admitted in PICU. Healthcare workers must make concerted attempts to support caregivers adaptive coping mechanisms, so they can retain a sense of balance.