Sounds like a wonderful journey :D
Yes I have met entities many times on DMT, but rarely if ever malevolent ones. I agree with Holy Toast that typically on DMT feelings like fear are not out of the picture like they can be on say ketamine. But instead there is so much experience (sights, entity contact, geometries and physics demonstrated, remembrance, imagination unfolding) that there is literally no time to realize the nature or implications of being scared or overwhelmed. The feelings seem to be mostly suspended and cannot be reflected upon. Usually when the flash or trip settles down a euphoric afterglow takes over, and I would also call being comforted relatively common. In my experience it can be entities or even spiritual or godlike things such as the cosmos as a whole that can counter emotions like fear, sadness, pain and other (potential) traumata.
In my case, the beings and the whole DMT hyperspace empathized with me after a loved one died. Telepathic communication is also commonly reported on DMT which I do not find surprising since it is your mind interacting with itself at least IMO. I am still as utterly mindblown when I believe that all of it is manifested by the mind.
So, everything I encountered sensed that I was in mourning and they joined me in my sorrow until I was cradled. The effect was that of sharing something difficult with a close friend, that compassion and catharsis which grounds and supports the healing process. Only the effect on DMT was with entities and greatly amplified.
Normally for me the entities are integral cogs of their world. A bit like servants such as oompa loompa's. They are extremely playful (which is entirely consistent with unbound imagination). I think they are meta-programs that can operate in the mind similar to how you can operate in a full-blown lucid dream. Not sure if you ever had them, but in my most lucid dreams I can manipulate my entire world. I can transform all "matter" or information, including the landscape or setting and the entities / people present.
When a person assumes all power and control in a lucid dream like that, it undermines the integrity of the dream. When a dream becomes unstable you wake up from it. But there are entities / agents that try to protect the integrity of the dream. From what I remember a little futile since I was able to transform even those agents. But anyway: movies like Inception, the Matrix or Dark City are not pulling shit out of their ass, I believe. Apparently I am just not the first to meet those agents by a long shot. Whether it is lucid dreaming without any drug involved or using DMT, I think the entities or agents are meta-programs of the mind, like subconscious subroutines. It doesn't seem like such a strange idea to me that they evolved for similar reasons that our inner monologue or dialogue did. To help streamline the side-effects of the consciousness being integrated into a coherent state yielding from cooperating subcircuits. When one mental process becomes actively involved in other process I think some processes / programs / forms can assume mentally projected entities as unified messages that can intervene and interact.
I think these entities are able to manipulate hyperspace (the mental domain with no boundaries and few rules) just like I mentioned with lucid dreams, they have been reported to make and show presents. Non-Euclidean art maybe

I have seen them manifest transforming out of objects (that may or may not exist in reality) or back into objects. Sometimes I see a string of random things unfold, this usually does happen in a circus-like or carnivalesque way: I might see a smurf turning inside out into a boucquet of flowers melting into a puddle on the floor which expands in ways that are impossible to describe spatially or otherwise. The entities can participate in this IME, they are not more or less of a person than the objects that are lifeless in reality... again consistent with the idea that it is all mental material and nothing appears to be more real than anything else, at least a priori. Witnessing some things definitely give us a stronger sense of novelty than other things though.
Your anxiety may manifest itself as an entity when imagination is taken to a whole other level and leading 'a life of its own'. But the mind is extraordinarily good at coping and will ultimately summon what you need. I think our minds know how to look after themselves only we normally limit ourselves so much that the mind is not allowed to use that potential. On DMT there are far fewer restrictions, if any... and that allows the mind interacting with itself (somewhat fragmented though apparently still with a functional central executive) to be exceedingly wise. You may say intelligent but not intellectually, instead relating to human nature.
IMO these kinds of explanations, more rational than some rather esoteric (even if appealing) explanations, don't necessarily have to take away the magic or make it less meaningful. I think the stunningly wise and intelligent spirit of a DMT is a mix of the nature of our mind and the nature of DMT interacting. The emergent consciousness to me seems more than a sum of the parts, I recognize this hybrid resultant as a great being and even though my own mind is an ingredient in it there are many differences, and I feel privileged to learn from it.
(And by the way when I said for example 'cosmos' earlier, I meant the mental projection of that just like I meant it when talking about such other things)
Regarding harlequins, I know what you mean - it seems to be the same theme as the carnivalesque things I described, though much more alien than any circus on our planet. I think this is a nice pic:
Furthermore if you want to read more about entity contact I invite you to use these PD threads on it:
The Big & Dandy Entity Contact Thread
[DMT Subthread] Entity Contact on DMT - the Machine Elves
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