Appraisal refers to the evaluation of the meaning of emotional stimuli and is considered causal in the generation of an emotional response. Cognitive neuroscience has paid little attention to a theoretical distinction between low-level appraisal, considered to be automatic and preattentive, and high-level appraisal that requires attentional and working memory resources. To disentangle low-level from high-level appraisal, we varied cognitive load in a concurrent, unrelated working memory task, while anxiety was induced through anticipation of impending pain. Confirming theoretical predictions, we show that anxiety-related activity in dorsal medial prefrontal/rostral anterior cingulate cortex (dorsal MPFC/ACC) is attenuated under high, relative to low, cognitive load. Lateral prefrontal regions previously implicated in reappraisal and cognitive emotion regulation show a similar interaction between anxiety and cognitive load. Critically, there were no changes in physiological and subjective measures of low-level appraisal outcome and emotional response generation as a function of load, allowing us to conclude that MPFC/ACC and lateral PFC activity during anticipatory anxiety reflects high-level appraisal. Our data provide neurobiological evidence for a distinction between low-level and high-level appraisal mechanisms.