Perception of Control (PC) is an essential part of the psychological well being, having been explored in many works in the specialised literature. It seems to be that the PC can modulate the effects of the stressful events and the daily stress of life, too. The aim of our study was to explore the relationship between perceived control and anxiety using a sample of 100 HIV/AIDS patients of the University Hospital La Paz of Madrid. Three different measures were used in the evaluation of these variables: Perceived control over health, Perceived control over stressful events and a measure of Anxiety. Several biomedical variables were also included in our study: CD4 cell rate, viral load, length of infection and CDC stage. The results, statistically significant, suggest that anxiety changes through different stages of the infection, and that perceived control over stressful events can predict the anxiety levels.