We sought to examine the prevalence of anxiety disorders associated with migration in the first-, second- and third-generation. The French Mental Health in the General Population cross-sectional survey interviewed 38,694 individuals using the MINI. The prevalence of lifetime anxiety disorders, and comorbidities was compared between migrants and non-migrants and by generation. All analyses were adjusted for age, sex, and income and education levels. In comparison to natives, pooled anxiety disorders were more common among migrants (25.3% vs. 20.7%, OR = 1.24) and among the three studied generations of migrants. Moreover, the prevalence rate of the pooled anxiety disorders was significantly higher in third-generation migrants, in comparison to first-generation (26.7% vs. 22.6%, OR = 1.14). Prevalence rates were higher in migrants for panic disorder (6.6% vs. 5.3%, OR = 1.20), general anxiety disorder (15.0% vs. 12.0%, OR = 1.24), posttraumatic stress disorder (1.0% vs. 0.6%, OR = 1.51), but not for social anxiety disorder. In comparison to natives, migrants with anxiety disorders had higher prevalence rates of suicide attempts (14.0% vs. 12.8% for natives), psychotic disorders (8.3% vs. 5.7%), unipolar depressive disorder (29.5% vs. 25.4%), bipolar disorder (5.0% vs. 4.0%), and addictive disorders (9.6% vs. 6.2% for alcohol use disorder, 8.2% vs. 4.1% for substance use disorders). Migration was associated with a higher prevalence of all anxiety disorders, in the first, second and third generation, and associated with more psychiatric comorbidities. Moreover, the prevalence increased across generations, and was significantly higher among third-generation migrants, in comparison to first-generation.