Social anxiety is a state of irrational fear and social avoidance which is generated when individuals are evaluated in social situations. It is playing an increasingly important role in our life. Previous studies have found that social anxiety affects consumption behavior, but the research findings have not yet been systematically sorted and summarized. Based on the existing research, firstly, this paper clarifies the concept of social anxiety and summarizes the scales which are used to measure social anxiety as well as the methods used to manipulate social anxiety. Secondly, based on the cognitive behavioral model of social anxiety, the impression management theory, and the self-regulation theory, this paper analyzes the theoretical mechanism of how social anxiety affects consumption behavior from the cognitive mechanism, impression management tactic perspective, and self-regulation resource perspective. Thirdly, this paper divides the impact of social anxiety on consumption behavior into three aspects: assertive consumption, defensive consumption, and irrational consumption by judging which impression management tactic they adopt and whether they have self-regulation resources to cope with the situation. Furthermore, this paper points out the factors which moderate the impact of social anxiety on consumption behavior. Finally, this paper establishes a theoretical framework on how social anxiety affects consumption behavior. Future research should delve deeper into the impact of different types of social anxiety on consumption behavior and enrich the studies on assertive consumption behavior. This paper helps to understand how social anxiety affects consumption behavior, and provides suggestions for enterprises to develop effective marketing tactics targeting consumers with different levels of social anxiety.