We introduce ShapeBand, a new shape-changing wristband designed for exploring multisensory and interactive anxiety regulation with soft materials and physiological sensing. Our approach takes a core principle of self-help psychotherapeutic intervention, aiming to help users to recognize anxiety triggers and engage in regulation with attentional distraction. We conducted user-centered design activities to iteratively refine our design requirements and delve into users’ rich experiences, preferences and feelings. With ShapeBand, we explored bidirectional and dynamic interaction flow in anxiety regulation and subjective factors influencing its use. Our findings suggest that integrating both active and passive modulations can significantly enhance user engagement for effective anxiety intervention. Further, different interactions, characterized by dynamic alteration in bubbles and water flow in ShapeBand, can provide users with a gamified experience and convey more potent effects. This study provides valuable insights into the future design of tangible anxiety-regulation interfaces that can be tailored to subjective feelings and individual needs.