I found this documentary called Ride the Tiger: A Guide Through the Bipolar Brain. Just google the name and it is on youtube. This is a nice documentary showing about research being done by the National Institute of Mental Health, talking about mapping brain circuits, ECT, TMS, electrode implantation, etc.

Unfortunately, it is not about anxiety. But I have not really seen much mental illness research shown in videos, so I enjoyed it. Also, if you know about any other documentaries like this, especially if it is about anxiety disorders, please share.