I recently had a friend go in to business for herself.  She felt some anxiety but mentioned that it was a different feeling than the stress and pressure that she felt as an employee.  I started my business in 2007 and have felt a wide range of emotions over the last few years.  Here is the response that I shared with her: 

Yes, I think the anxiety is a natural feeling.  As an employee you have stress but you also have a set paycheck.  The stress is rationalized because you’re getting paid.  As a small business owner, you don’t have a set paycheck.  It’s a whole different game because you can work really hard and not make any money. 

This is a big mental shift.  You need to work hard but also work smart so that the activities bring in cash.  You can no longer show up and get paid.   (Which is a great feeling that I often miss.)   

The largest change for me was that as a business owner, I never stop working.  I’m constantly thinking about work, telling people about my work, or actually working.   My brain never stops solving work related problems.  When I was an employee, I left my work at the office.  I never checked work email at home.  I never answered my work cell phone on the weekend.  I never took vacations and checked email from the hotel room. etc. 

When I first started my business, there was a lot of pressure and anxiety because the revenue wasn’t consistent; after time you will have steady clients and a fairly reliable cash flow.