Anxiety definitely puts your body in hyper alert mode. Years ago when I developed a chronic headache disorder the chronic stress, worry, anxiety from it resulted in me being very sensitive to loud noises. Same as you, children screaming, dogs barking, etc. It felt like the sound was going through my spine. So uncomfortable.
Fortunately the headache went away after 13 months. Still, if my anxiety level is high I experience sensitivity to loud noises. I can also startle easily, which is a tell-tale symptom of anxiety. I also get a 2-3 second wave sensation in my head/body, like the one you get when you were a kid and did something wrong or that feeling you get when you suddenly realize that you forgot something really important.