"Apprehensive" can be used to describe someone who is hesitant to do something, for fear that something bad may happen. It implies that the person may be being somewhat cautious, as well. Here's an example sentence: "Jo was apprehensive about touching her friend's pet snake."
Think of the word "nervous" as being related to the word "nerves". It can be used similarly to the word "apprehensive", but in a more broad sense, it refers to the physical feeling that one might experience before doing something that is unknown to them, before facing a fear of theirs, or before some major event (like giving a presentation, or participating in a major sporting event). For example: "I was nervous before giving my speech, but I felt great afterwards!"
"Anxious" comes from the noun "anxiety". Anxiety is generally defined as a constant state of worry or fear, sometimes without explanation. Feeling anxious is usually considered an unpleasant experience, but it is not always used as such, in conversation. It can also simply mean that someone is eager for something to happen, or for something to end. Here is an example sentence, using the first usage I described: "My teacher is very mean to me, and I feel anxious whenever he enters the room."
Here is another example sentence, showing the second usage I mentioned: "Your parents sound like great people, I'm so anxious to meet them!"
I hope this helped you understand! Feel free to ask me any more questions! :)