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God did not deliver Shadrach, Meshach, and Abednigo from the fiery furnace. No, they had to go into it. God could have made it another way - they could have been supernaturally delivered from being subjected to this unjust punishment. However, the Lord was near them throughout the experience. They were saved through (not from) the mental anguish of being thrown into a fire. 

Because the Lord was near to them.

The Lord is near. Do not be anxious about anything,
but in every situation, by prayer and petition,
with thanksgiving, present your requests to God.
And the peace of God, which transcends all understanding,
will guard your hearts and your minds in Christ Jesus.                                                            Philippians 4:5–7 NIV

In this article (8 minute read, and worth every second. You can access it by clicking --> here <--), the late David Powlison offers biblical counsel for those who struggle with anxiety. It is found in the realization that, despite the circumstance that causes anxiety, know that God is near to you. Circumstances may come and go, but the greatest treasure we can all have will never leave us and will be ours for eternity. 

Here is a summary of his points:

1. The nearness of God slows anxiety and grows trust.

2. Have go-to prayers for times of anxiety that emphasize the nearness of God.

3. Pray for God to help you love him supremely, above all worry and cares of this world.

4. When anxiety hits, have some small thing that you do which reminds you that God is holding you close.