Families have been suffering from huge financial loss and psychological distress due to the COVID-19 pandemic. Most existing studies investigated the protective factors for anxiety at the individual level, while understandings from the perspective of family dyadic level were left unknown. Considering that social support could serve as a protective factor to reduce anxiety both at individual level and at dyadic level, the present study adopted dyadic data analysis approach to tackle this puzzle. In total, 2512 Chinese parent–adolescent dyads completed a survey with scales of anxiety, social support, and perceived family resilience on July 31 and August 1 of 2021. Results showed that: (1) adolescents’ perceived social support had significant actor and partner effects on their own and parents’ anxiety, whereas parents’ perceived social support only had a significant actor effect on their own anxiety and (2) the actor mediating effects of social support on anxiety via one’s own perceived family resilience were found in both adolescents and parents, and a partner mediating effect of adolescents’ social support was significantly associated with parents’ anxiety through parents’ perceived family resilience. Findings emphasize that interventions aiming at increasing adolescents’ support resources could generate a significant effect on reducing anxiety.