Trait anxiety refers to a stable tendency to experience fears and worries across many situations. High trait anxiety is a vulnerability factor for the development of psychopathologies. Self-reported trait anxiety appears to be associated with an automatic processing advantage for threat-related information. Self-report measures assess aspects of the explicit self-concept of anxiety. Indirect measures can tap into the implicit self-concept of anxiety. We examined automatic brain responsiveness to non-conscious threat as a function of trait anxiety using functional magnetic resonance imaging. Besides a self-report instrument, we administered the Implicit Association Test (IAT) to assess anxiety. We used a gender-decision paradigm presenting brief (17 ms) and backward-masked facial expressions depicting disgust and fear. Explicit trait anxiety was not associated with brain responsiveness to non-conscious threat. However, a relation of the implicit self-concept of anxiety with masked fear processing in the thalamus, precentral gyrus, and lateral prefrontal cortex was observed. We provide evidence that a measure of the implicit self-concept of anxiety is a valuable predictor of automatic neural responses to threat in cortical and subcortical areas. Hence, implicit anxiety measures could be a useful addition to explicit instruments. Our data support the notion that the thalamus may constitute an important neural substrate in biased non-conscious processing in anxiety.