In times of crisis, citizens tend to increase their approval of the government and its leader which can shift the balance of power. This ‘rally effect’ is a persistent empirical regularity; however, the literature is still undecided on its underlying causal mechanisms. We argue that crises induce threat and anxiety and hypothesize that perceived threat increases approval of the incumbent leader, whereas anxiety decreases it. By analysing German panel data from the COVID-19 pandemic, we causally identify both mechanisms and provide systematic evidence supporting this theory. Moreover, we increase the scope of our theory and show that both mechanisms are also at work when citizens approve cabinet members who manage key portfolios. Our findings have highly important implications for our understanding of the rally effect and crises politics in democracies.