I've been a pretty anxious person historically. When I first got started on my weight loss, I actually didn't even realize how much I used food as a coping mechanism to soothe myself. I really thought I just enjoyed food a whole lot.
I got myself to the point of obesity where I was genuinely very scared for my health, and that got me started. So then here I was taking much better care of my diet and my anxiety really reared its head within a couple months. I was considering going on some kind of meds. And I was confused about why now that I was focusing on being healthier, now I have to deal with this anxiety! I finally realized, as you apparently are smart enough to know at the outset, that I had taken my MAIN coping mechanism away and didn't really know what to replace it with.
I talked to my doctor, asked her if I should start on Paxil or something (took it back in the 90s with pretty good results), and she told me that while she prescribes those type of drugs on a daily basis and has no problem writing me a script, she was really encouraged by my weight loss and was hoping to avoid introducing any chemicals that might throw me off track. So in addition to "prescribing" me additional exercise, she signed me up for this mental training thing that I went to for 6 weeks where I basically learned how to meditate (amazingly, my health insurance paid for it, because the program gets great results).
For a long time, I just felt like whenever anything stressful happened, I was pretty much flapping in the breeze with my nerves, without my old go-to -- food. But the further I go on this journey, the more I'm noticing that the pull to something fatty/greasy/sugary when I'm stressed is definitely letting up.
I'm still constantly on the lookout for new coping mechanisms, but I have defnitely found that the exercise has helped immensely, and even if I don't meditate as regularly as I think I should, just sitting with myself in quiet helps, too.
Sorry for the long post, but I really relate! And I wanted to let you know that these demons can be faced head-on and you can fill up your toolbox with things besides food. It's exciting!