Theoretical models of persecutory delusions have emphasized the impact of reasoning biases and negative emotion at the early stages of symptom formation. However, the causal mechanisms remain unclear. This study tests the hypothesis that state anxiety will increase paranoid ideation and that this increase will be moderated by the level of individual vulnerability and mediated by the tendency to jump to conclusions. Healthy participants (n = 90) with varying levels of vulnerability (psychosis symptoms assessed by the Community Assessment of Psychic Experiences) were randomly assigned to either an anxiety or a nonanxiety condition. Anxiety was induced by pictures from the International Affective Picture System and by in sensu exposure to individual anxiety-provoking situations. During each condition, symptoms of paranoia were assessed by a state-adapted version of the Paranoia Checklist. Jumping to conclusions (JTC) was assessed using a modified version of the beads task. Overall, participants in the anxiety condition reported significantly more paranoid thoughts and showed more JTC than participants in the neutral condition. Participants with higher baseline vulnerability were more likely to show an increase in paranoia as reaction to the anxiety manipulation. Moreover, the association of anxiety and paranoia was mediated by the increased tendency to jump to conclusions in the beads task. The results are in line with a threat anticipation conceptualization of paranoia and provide evidence for an interaction of anxiety and reasoning biases in the development of paranoid beliefs. A combination of meta-cognitive training directed at reasoning biases and promoting emotion regulation skills might prove beneficial in preventing symptoms.