Mental illnesses (e.g., depression, stress, anxiety disorder) are prevalent in our everyday lives. It is important to explore how individuals cope with mental illness. Little is known, however, about the psychological mechanisms that motivate coping behaviors of mental illness. To address this gap, this study applied an extension of the extended parallel process model (E-EPPM) to examine how threat appraisals (e.g., severity and susceptibility), negative emotions (e.g., anxiety and fear), and coping appraisals (e.g., self-efficacy and response efficacy) show dynamic relationships on information seeking. Furthermore, the current study tests whether information seeking ultimately elicits intentions to spread information on social media. An online survey of adults aged over 18 years old (M-age = 32.40) recruited from Amazon Mechanical Turk (MTurk) was used for this study (N = 614). The structural equation modeling (SEM) results analyzed by AMOS statistical software indicated that anxiety was a strong predictor of coping appraisals and information seeking. Overall, anxiety increased information sharing intentions via self-efficacy and information seeking. Theoretical and practical ramifications are discussed.