OBJECTIVE: To estimate cost-effectiveness of Alprazolam versus Clonazepam, Fluoxetine and Imipramine in anxiety disorders in the Mexican Institute of Social Security (IMSS). METHODS: A cost-effectiveness study was carried out with a time horizon of one year, no discount rate was used. Utilization of resources and effectiveness data were taken from an expert panel of psychiatrists working at the IMSS and private sector. Inclusion criteria for experts were: psychiatrists with more than five years of clinical experience, that were certified by the Mexican Council of Psychiatry and that had experience in using the studied drugs in anxiety disorders. Use of resources included hospitalisation, emergency services, visits, laboratory and diagnostic tests, as well as pocket expenses. Unit costs were taken from Administrative and Financial departments of IMSS. Costs were expressed in 2004 USD. Effectiveness measure was days free of symptoms. Sensitivity analysis was univariate and probabilistic. RESULTS: Annual treatment cost of anxiety disorders with Alprazolam was $13,110, with Clonazepam $13,367, with Fluoxetine $13,423 and with Imipramine $14,803. Effectiveness results were 224 days without symptoms for Alprazolam, 232 for Clonazepam and 181 for Fluoxetine and Imipramine. The incremental cost-effectiveness analysis showed that the cost of an extra unit of effectiveness was $32.2 when changing from Alprazolam to Clonazepam, while the two other alternatives (Fluoxetine and Imipramine) were dominated. Sensitivity analysis confirmed the direction and strength of our results. Confidence interval at 95% of the ICER was calculated by the ellipse method and it showed that Alprazolam was dominant in 87% of the cases. Acceptability curve described Alprazolam as the best option with a willingness to pay threshold of $32.2. CONCLUSIONS: The best cost-effective alternative was Alprazolam followed by Clonazepam. This results are relevant for the IMSS because anxiety disorders cause work leaves and hospitalisations, and reduction in quality of life.