Anticipation is a central component of anxiety and the anterior insula appears to be an important neural substrate in which this process is mediated. The anterior insula is also thought to underlie the interoceptive representation of one's affective state. However, the degree to which individual differences in anticipation-related insula reactivity are associated with variability in the subjective experience of anxious anticipation is untested. To assess this possibility, functional magnetic resonance images were acquired while participants completed an auditory anticipation task with trial-by-trial self-report ratings of anxious anticipation. We hypothesized that the anterior insula would be positively associated with an individual's subjective experience of anticipatory anxiety. The results provide evidence for an amygdalo-insular system involved in anxious auditory anticipation. Reactivity in the right anterior insula was predictive of individuals' subjective experience of anxious anticipation for both aversive and neutral stimuli, whereas the amygdala was predictive of anticipatory anxiety for aversive stimuli. In addition, anxious anticipatory activation in the left insula and left amygdala covaried with participants' level of trait anxiety, particularly when the anticipated event was proximal.