Adolescent anxiety is debilitating, the most frequently diagnosed adolescent mental health problem, and leads to substantial long-term problems. A randomized controlled trial (n = 138) was conducted to test the effectiveness of a biofeedback video game (Dojo) for adolescents with elevated levels of anxiety. Adolescents (11–15 years old) were randomly assigned to play Dojo or a control game (Rayman 2: The Great Escape). Initial screening for anxiety was done on 1,347 adolescents in five high schools; only adolescents who scored above the “at-risk” cut-off on the Spence Children Anxiety Survey were eligible. Adolescents’ anxiety levels were assessed at pre-test, post-test, and at three month follow-up to examine the extent to which playing Dojo decreased adolescents’ anxiety. The present study revealed equal improvements in anxiety symptoms in both conditions at follow-up and no differences between Dojo and the closely matched control game condition. Latent growth curve models did reveal a steeper decrease of personalized anxiety symptoms (not of total anxiety symptoms) in the Dojo condition compared to the control condition. Moderation analyses did not show any differences in outcomes between boys and girls nor did age differentiate outcomes. The present results are of importance for prevention science, as this was the first full-scale randomized controlled trial testing indicated prevention effects of a video game aimed at reducing anxiety. Future research should carefully consider the choice of control condition and outcome measurements, address the potentially high impact of participants’ expectations, and take critical design issues into consideration, such as individual- versus group-based intervention and contamination issues.