The main objective of this paper is to assess pro-environmental behavior, climate change anxiety, perception, hope, and despair in different political orientations. Our specific aims included to assess the validity of all the instruments used; to assess whether the factor structure of the scales were valid across political orientations; to evaluate their reliability; to assess differences concerning age, gender, and political orientation; to learn the variables that explain pro-environmental behavior; and to evaluate the moderating role of climate change perception, despair, and hope in the relationship between climate change anxiety and pro-environmental behavior. Confirmatory factor analyses (CFAs), multi-group CFAs (to calculate measurement invariance), multiple linear regressions, and moderations were performed. Results showed that pro-environmental behavior and climate change hope achieved the four assessed levels of invariance across different political orientations; climate change anxiety achieved the first three levels of invariance; and climate change perception and climate change despair achieved configural invariance. Climate change anxiety, personal experience with climate change, and climate change perception (total, reality, and consequences) presented higher values for the left political orientation than for the right or the center. Climate change anxiety variables contributed most to explaining pro-environmental behaviors. Hope, despair, and climate change perception (consequences) moderated the relationship between climate change anxiety and pro-environmental behavior. These results open up new avenues for investigation, specifically to understand why high levels of anxiety lead to more pro-environmental behaviors.