It goes like this: You have a feeling, say anxiety, and a thought comes with it, say: I gotta get outa here! It's more like a command, isn't it? So you obey, right? You try to get out. But maybe you can't, so you get more anxious; as you get more anxious, your mind develops the thought, embellishing the fantasy of disaster if you fail to escape. More anxiety. Shall I go on? Have you been there? 
Actually, let's do another run. You're bummed because you missed the train. Sad, sinking feeling. Your brain, responding helpfully, remembers all other sad, sinking moments; times you failed, times you lost things, and then even more helpfully (because the brain loves to be in control), starts predicting more failure in the future. How are you doing?
Luckily there is a way out of this rat chase. When I ask my clients about feelings, I distinguish sensation from thought. Sometimes I really push it--drive a wedge between the feeling and the thought--because it we can get so caught in the thought that we mistake it for a feeling. As in: I feel that he is a big asshole. This is not a feeling. The feeling is anger. It generates a thought that seems like reality (he is an asshole). The sensation might be: heart racing, blood rushing, energy surging. Focusing on just that, letting it rise and fade away like all phenomena. Staying simple like this creates space between the feelings and thoughts, and then the feedback loop ceases.
Furthermore, if you've been through it, you will soon notice that the thought returns. So, you do it again, and each time the thought feels less and less like the truth. Accept the feeling, suspect the thought, I like to say. When we understand that the thought is not reality, then we can play with it, turn it around, shift perspective, become agile, and in the process get exactly what we want.