While for some women, corsets can help relieve anxiety, for others, it may exacerbate it. Those who suffer from claustrophobia may love the idea of corsets, but balk at the thought or attempt of actually putting one on. Never fear, though, it is possible to overcome claustrophobic concerns in the name of pretty, pretty corsets.
My girlfriend is, or at least, used to be, one of those women. When I first took her to Dark Garden for a fitting, she was barely in the corset for a minute before I had to hurriedly unlace her. Two years later, she owns two corsets, can lace herself in, and has been asking me to make her a waist training corset. How she manages her claustrophobia is the result of both the corsets she owns (their fit and construction) and how she wears them.
First, make sure you are working with a really good corsetiere, preferably someone with whom you can meet in person. The way you are laced in --- even into a sample corset --- has a huge impact on how you feel, so any old shop that carries corsets isn't guaranteed to have well-trained staff who will lace you in properly. (In this case, I am referring to how they settle the corset on your body, how they balance the tension in the laces, the angles of movement they use to lace you in, how the corset itself is laced, etc. --- not just how tightly you are cinched.) The first time you are laced into a corset, make sure it's slow and easy, and know that you can be released within a matter of seconds. Communicate with your corsetiere so they know not to lace you in too quickly or too tightly. If you have to take it off immediately, that's okay. Take a breather, walk around, drink some water, whatever will calm you down, then try again.
Size-wise, as you adapt yourself to the idea of wearing the corset, and particularly for the first try-on, you may want to start with a corset that is a size too big or has a milder reduction. Make sure it still has a comfortable and human shape, of course --- a milder reduction, in this case, doesn't mean one of those rib-smashing tube-shaped monstrosities. Hourglass rib shaping will likely be more comfortable than conical.
Underbust corsets and waspies will be more comfortable: they are less constricting and faster to (un)lace than overbust styles. Spiral steel boning will also give you more mobility. Anything that can streamline the construction and weight of the corset will minimize the feeling of constriction; single layer or mesh corsets will feel lighter and more mobile on the body than (for example) a triple-layer, heavy coutil, double boned corset with external casings.
Lastly, once you have your corset and you are ready to wear it out for the day or evening, make sure your outfit is one that will work with or without the corset if you feel compelled to take it off after a bit. Reinforcing that you can take off your corset as-needed will help you minimize your anxiety, whereas being forced to keep it on will increase it.