A Baylor University research study published in the August 2014 issue of Sociology and Religion prayer can help with anxiety, but it doesn't have the same effect for everyone. Much of how much it helps depends on trust and faith. It could be any religion or just a spiritual trust that universal power is there for you if you believe in it. We have numerous studies showing how powerful belief is in affecting our biochemistry and physiology. It is what the placebo or nocebo effects are all about.
They pointed out that previous research demonstrated that people with a strong attachment to God are more satisfied and less depressed in their lives. They studied 1714 people and found that a person's perceived relationship with their image of God can play and important part in shaping mental health.