You can help an anxious pet during thunderstorms by creating a safe space for them to retreat to, such as a cozy den or a quiet room. Providing calming music or white noise can also help drown out the sound of the thunder. Additionally, using products like Thundershirts or pheromone diffusers can help alleviate anxiety in pets during storms. It's important to stay calm yourself, as pets can pick up on your emotions, and offering comforting pets or cuddles can also provide reassurance to your anxious pet.