Anxiety has consistently been found to potentiate attentional capture by physically salient stimuli, which could be due to enhanced distractor processing, impaired goal-directed attention, or both. At the same time, a recent study demonstrated that a threat manipulation reduces attentional capture by reward-associated stimuli, suggesting that anxiety does not increase distractibility or, otherwise, interfere with the control of attention generally. Here, we experimentally induced anxiety via threat-of-shock in the adaptive choice visual search task to examine whether the experience of threat influences goal-directed attentional control. Participants chose to search through one of two task-relevant colors on each trial, where searching through the less abundant color would be optimal for maximizing performance. Performance was evaluated with and without the threat of unpredictable electric shock. Under threat, participants were more optimal in their visual search and missed fewer targets. Performance improvements were demonstrated on trials that the optimal target color switched, demonstrating that threat is beneficial in adapting to changing attentional demands. Our findings demonstrate that threat can facilitate the efficiency of goal-directed attentional control and are at odds with an antagonistic relationship between anxiety and the control of attention.