Standard CBT programs for childhood anxiety are costly. Low-intensity self-help treatments may increase access to evidence-based interventions. These interventions are generally promising. We tested the effectiveness of a therapist-guided parent-delivered self-help group intervention based on the “Cool Kids” program at mid-treatment, post-treatment and 6-months follow-up. We enrolled 117 families with children aged 6–12 years. Effect sizes were calculated for mother, father and child reports. Reliable change and change in clinical status were based on mother and child report. We found a significant decrease in both anxiety and depression symptoms. Effect sizes were medium to large for anxiety symptoms following treatment. Mothers reported that 53.8% of the children obtained a reliable change in anxiety symptoms from pre- to post-treatment, and 66.7% from pre- to follow-up. Out of 72.6% children who were classified as having clinical anxiety prior to treatment, 52.9% and 58.8% changed their status to non-clinical at post-treatment and follow-up, respectively. Clinical significant change, involving having achieved both a reliable change and change of status from clinical to non-clinical, was obtained for 49.4% at post-treatment, and 58.8% at follow-up based on mother reports. Our findings indicate that parent-delivered self-help CBT groups may be a valuable asset in improving access to psychological cost-effective evidence-based treatments for anxious children.