Anxiety changes brain chemistry, and makes it easier for the mind to focus on the negative. You're not only more likely to have a scary thought when you have anxiety  you're also more likely to focus on the thought, have the thought cause more anxiety, and ultimately have more scary thoughts in the future.

We have a brain that processes information very deeply and feels emotions very vividly, compared to other people. This trait is linked with many good qualities  empathy, creativity, and giftedness among them  but it also means we experience unsettling scenes very differently than other people.