(1) Background: Adolescents-and-young-adults (AYA) are prone to anxiety. This study assessed AYA's level of anxiety during the COVID-19 pandemic; and determined if anxiety levels were associated with country-income and region, socio-demographic profile and medical history of individuals. (2) Methods: A survey collected data from participants in 25 countries. Dependent-variables included general-anxiety level, and independent-variables included medical problems, COVID-19 infection, age, sex, education, and country-income-level and region. A multilevel-multinomial-logistic regression analysis was conducted to determine the association between dependent, and independent-variables. (3) Results: Of the 6989 respondents, 2964 (42.4%) had normal-anxiety, and 2621 (37.5%), 900 (12.9%) and 504 (7.2%) had mild, moderate and severe-anxiety, respectively. Participants from the African region (AFR) had lower odds of mild, moderate and severe than normal-anxiety compared to those from the Eastern-Mediterranean-region (EMR). Also, participants from lower-middle-income-countries (LMICs) had higher odds of mild and moderate than normal-anxiety compared to those from low-income-countries (LICs). Females, older-adolescents, with medical-problems, suspected-but-not-tested-for-COVID-19, and those with friends/family-infected with COVID-19 had significantly greater odds of different anxiety-levels. (4) Conclusions: One-in-five AYA had moderate to severe-anxiety during the COVID-19-pandemic. There were differences in anxiety-levels among AYAs by region and income-level, emphasizing the need for targeted public health interventions based on nationally-identified priorities.