Purpose: Despite concerns about digital privacy, little is known about emotional distress about data hacking and surveillance incidents. The purpose of this paper is to examine variables predicting anxiety about data hacking, and the role that such anxiety and other potentially important variables have in explaining the use of digital privacy protection behavior. Design/methodology/approach: In total, 305 participants from an online labor market were sampled who frequently use the internet, surveyed about recent anxiety (using the Generalized Anxiety Disorder-7 scale (GAD-7)), anxiety about data hacking (GAD-7, in reference to data hacking), and issues of digital privacy: news exposure, perceived importance, self-efficacy, protection behavior, and previous hacking victimization. Findings: Profession (information technology-related) moderated the symptom structure for recent anxiety, but not data hacking anxiety. Using structural equation modeling, prior hacking victimization predicted anxiety about hacking. Digital privacy protection behavior was related to hacking anxiety and privacy self-efficacy. Data hacking anxiety mediated relations between hacking victimization and privacy protection. Privacy self-efficacy mediated relations between news exposure to hacking incidents and privacy protection. Research limitations/implications: Limitations include the self-report nature of the instruments, and use of a selective, non-random sample. Practical implications: Results highlight knowledge, self-efficacy, and threat appraisal among IT managers in motivating better digital security practices. Originality/value: This is the first study using a standardized instrument of anxiety to examine distress about hacking and predictors of digital privacy protection behavior.