Objective: In the context of urban violence scenarios and the psychological consequences associated with them, a study was designed to study the mediating role that the risk perception of victimization of violence may play between the exposition to violence in news media and the anxiety associated to urban violence. Method: A non-experimental cross-sectional study was designed. A sample of 384 participants, aged from 18 to 25 years old (M = 21.4, SD = 1.89), 59.4% women and residents in the city of Obregon (Sonora, Mexico), the 31st most violent city in the world, was gathered. Participants answered to three psychometric scales measuring risk perception, news media consumption, and anxiety. Results: The results advertise that women perceive higher risk of victimization of violence; are more exposed to violence in new media; and report more anxiety associated to urban violence. Moreover, the results (structural equation model) confirmed the mediation role of risk perception of victimization of violence between the exposition to violence in news media (beta = .36, p < .001) and anxiety associated to urban violence (beta = .22, p < .001). Conclusions: The findings confirm the effects of news media on the anxiety associated to urban violence mediated by an increase in the risk perception. Thus, actions should be implemented on the contents exposing violence in news media to mitigate the direct and positive effect in risk perception, and, consequently, the adverse effects in anxiety.