There is a preliminary study showing that anxiety is associated with low vitamin D levels (Bičíková et al., 2015). However, this is only preliminary, and more studies are needed before a causal relationship is established. Furthermore, there are no studies showing that vitamin D is helpful for anxiety.
If you want a natural anxiety supplement that has research studies showing its ingredients are effective and safe for anxiety, then you should consider KalmPro:
Vitamin D in anxiety and affective disorders. Bičíková M, Dušková M, Vítků J, Kalvachová B, Řípová D, Mohr P, Stárka L. Physiol Res. 2015;64 Suppl 2:S101-3.