Getting nervousness or anxiety while on Zoloft (sertraline) could be a side effect of Zoloft, especially when first starting it. Zoloft is classified as an SSRI (selective serotonin reuptake inhibitor). In fact, the whole class of SSRIs and SNRIs (serotonin norepinephrine reuptake inhibitors) are associated with risk of nervousness and anxiety, especially when first starting it.