Sayyidi wa sanadi Hadhrat Mawlana Mohammad Taqi Usmani (may Allah preserve him) said,
Develop this habit of talking to Allah.
My shaykh Arif-billah Hadhrat Dr Abdul-Hayy Arifi (may Allah have mercy on him) told this to us repeatedly.
Sit in solitude and contemplate that I am infront of Allah. Tell Him everything that is on your mind and bothering you. Your past mistakes, the present difficulties and future apprehensions . Tell Him in detail and ask for guidance and help.
InshaAllah, in addition, to relieving your anxiety it will lead to the creation of a bond between you and your Lord, Allah (taluq ma Allah).