The first few weeks on SSRI's can be activating (increased anxiety, agitation, nervousness etc). Many doctors prescribe a Benzodiazapine like Klonopin or Xanax to offset the inital anxiety. I'm taking Klonopin for that purpose. (I hate drugs, this is very tough for me)
Remember, the meds start to work right away on your brain chemistry it just takes some time before you feel better overall.
You may also be feeling anxious because you're nervous about starting a new drug. Will it work? How long will it take? What next? I have the same questions as I've just switched from Zoloft back to Prozac.