With a child, make it a job rather than a lesson. They are the detective, the worried thought is the claim, and the task is to collect what supports it and what does not before deciding anything.

What the research says

In a randomised experiment with volunteers who had generalised anxiety disorder or depression, training people to read ambiguous situations in a more benign way reduced their worry and rumination. How an unclear situation gets interpreted is part of what drives the loop, which is what the two column exercise works on. That was a short training study in volunteers, so it supports the mechanism rather than this particular exercise with children.

Strength of evidence: one line of research. A single study, or a theoretical account.