Sustained anxiety about potential future negative events is an important feature of anxiety disorders. In this study, we used a novel anticipation of shock paradigm to investigate individual differences in functional connectivity during prolonged threat of shock. We examined the correlates of between-participant differences in trait anxious affect and induced anxiety, where the latter reflects changes in self-reported anxiety resulting from the shock manipulation. Dissociable effects of trait anxious affect and induced anxiety were observed. Participants with high scores on a latent dimension of anxious affect showed less increase in ventromedial pFC–amygdala connectivity between periods of safety and shock anticipation. Meanwhile, lower levels of induced anxiety were linked to greater augmentation of dorsolateral pFC–anterior insula connectivity during shock anticipation. These findings suggest that ventromedial pFC–amygdala and dorsolateral pFC–insula networks might both contribute to regulation of sustained fear responses, with their recruitment varying independently across participants. The former might reflect an evolutionarily old mechanism for reducing fear or anxiety, whereas the latter might reflect a complementary mechanism by which cognitive control can be implemented to diminish fear responses generated due to anticipation of aversive stimuli or events. These two circuits might provide complementary, alternate targets for exploration in future pharmacological and cognitive intervention studies.