It has become increasingly important to monitor drivers’ negative emotions during driving to prevent accidents. Despite drivers’ anxiety being critical for safe driving, there is a lack of systematic approaches to detect anxiety in driving situations. This study employed multimodal biosignals, including electroencephalography (EEG), photoplethysmography (PPG), electrodermal activity (EDA) and pupil size to estimate anxiety under various driving situations. Thirty-one drivers, with at least one year of driving experience, watched a set of thirty black box videos including anxiety-invoking events, and another set of thirty videos without them, while their biosignals were measured. Then, they self-reported anxiety-invoked time points in each video, from which features of each biosignal were extracted. The logistic regression (LR) method classified single biosignals to detect anxiety. Furthermore, in the order of PPG, EDA, pupil, and EEG (easiest to hardest accessibility), LR classified accumulated multimodal signals. Classification using EEG alone showed the highest accuracy of 77.01%, while other biosignals led to a classification with accuracy no higher than the chance level. This study exhibited the feasibility of utilizing biosignals to detect anxiety invoked by driving situations, demonstrating benefits of EEG over other biosignals.