I started having panic attacks and anxiety shortly after starting C, but I thought it was from the MS itself, as I started the C shortly after being Dx.
But it was nothing compared to the emotional nutcase I became with Avonex. That was a combination of anxiety, panic attacks and severe depression all rolled into one combined with the flu like symptoms, night sweats, menopausal effects, and evenually the hives. I remember DH2B coming home early from work (he's in the Army!) because my panic attack had hit day three and I could not control my emotions. I cried uncontrollably for 3 days straight, he come home and HE called my neuro and told her she needed to see me that day and she needed to get me on an antidepressant.
It was scary. I wasn't suicidal, or homicidal. Just reached a point where it all collapsed and I couldn't stop it from coming out.
So YES I think the DMDs do cause anxiety.