The effects of direct and averted gaze on autonomic arousal and gaze behavior in social anxiety were investigated using a new paradigm including animated movie stimuli and eye-tracking methodology. While high, medium, and low socially anxious (HSA vs. MSA vs. LSA) women watched animated movie clips, in which faces responded to the gaze of the participants with either direct or averted gaze, their eye movements, heart rate (HR) and skin conductance responses (SCR) were continuously recorded. Groups did not differ in their gaze behavior concerning direct vs. averted gaze, but high socially anxious women tended to fixate the eye region of the presented face longer than MSA and LSA, respectively. Furthermore, they responded to direct gaze with more pronounced cardiac acceleration. This physiological finding indicates that direct gaze may be a fear-relevant feature for socially anxious individuals in social interaction. However, this seems not to result in gaze avoidance. Future studies should examine the role of gaze direction and its interaction with facial expressions in social anxiety and its consequences for avoidance behavior and fear responses. Additionally, further research is needed to clarify the role of gaze perception in social anxiety.