Are inflammation and anxiety connected?
See this paper on link between inflammation and anxiety.

Also, quoting one of the paragraphs of this paper


  Clinical
  studies have shown increased serum inﬂammatory markers in patients with depression as well as a correlation
  between plasma cytokine levels and the severity of depression, and have described improvement in depression
  after anti-inﬂammatory treatment.


Even if you do a simple google search, you will get thousands of results on this.