Psychotherapy research aims to investigate predictors and moderators of treatment outcome, but there are few consistent findings. This study aimed to investigate cytokines in patients undergoing treatment for anxiety disorders and whether the level of cytokines moderated the treatment outcome. Thirty-seven patients with comorbid and treatment-resistant anxiety disorders were investigated using multilevel modelling. Serum cytokine levels were measured three times: pretreatment, in the middle of treatment, and at the end of treatment. Anxiety and metacognitions were measured weekly throughout treatment by self-report. The levels of monocyte chemoattractant protein-1, tumour necrosis factor-alpha, and interleukin-1 receptor antagonist did not change during therapy or were not related to the level of anxiety. Metacognitive beliefs predicted anxiety, but the relationship between metacognitions and anxiety was not moderated by cytokines. Limitations of the study include that the patients were not fasting at blood sampling, and we did not assess body mass index, which may affect cytokine levels. The lack of significance for cytokines as a predictor or moderator may be due to a lack of power for testing moderation hypotheses, a problem associated with many psychotherapy studies. Cytokines did not predict the outcome in the treatment of comorbid anxiety disorders in our sample. Furthermore, cytokines did not moderate the relationship between metacognitions and anxiety.