Cognitive models of social anxiety disorder (SAD) emphasize anticipatory processing as a prominent maintaining factor that occurs before social-evaluative events. Anticipatory processing occurs when a socially anxious individual is expecting a social event and can be described as a mode of repetitive negative thinking dominated by past failures, negative images of oneself, predictions of poor performance and rejection. The present review examined the literature on anticipatory processing in social anxiety in an effort to highlight important findings pertaining to this construct. Correlational and experimental studies have investigated the relationship between anticipatory processing and the behavioural, physiological, cognitive and affective outcomes for socially anxious individuals. Studies investigating the characteristics, causes, and consequences of anticipatory processing according to models of social anxiety were included for review. The majority of study designs include those investigating anticipatory processing prior to social-evaluative threat. Directions for future research are discussed and an overview of a framework for explaining anticipatory processing biases in social anxiety is presented.