Dispositional anxiety has been known a risk factor of many psychiatric diseases including clinical anxiety and depression. Neuroimaging studies have consistently shown the relationship between anxiety and cognitive impairment. Previous ERP studies have suggested that components such as late positive potential (LPP), N170, and N400 differ in subjects with increasing anxiety during working memory tasks. However, the electrophysiology results on brain oscillations and functional connectivity are still under debate. In this study, thirty subjects were recruited in an EEG experiment involving a natural auditory working memory task. Subjects' state-trait and implicit anxiety levels were evaluated prior to the experiment. EEGs were recorded using an electrode cap from 128 scalp locations with event-related potentials (ERPs) and event-related spectral perturbations (ERSPs) computed using the EEGLAB toolbox. Phase-locking values (PLVs) were calculated to determine the functional connectivity in distinct frequency bands to evaluate the interaction between distinct brain regions. The theta event-related synchronization (ERS) in the frontal area and long-range functional connectivity between frontal and posterior regions are discussed for individuals with distinct anxiety levels during memory retrieval, especially the power and coherence between theta brain activities and other frequency bands.