Sensory differences and anxiety disorders are highly prevalent in autism. Studies have shown that sensory differences and anxiety are associated and demonstrate an important role for intolerance of uncertainty (IU) within this relationship. However, those studies predominantly assessed sensory reactivity using questionnaires (i.e., observational reports), which can be subjective, and do not differentiate between perceptual, affective, and behavioural levels of sensory processing. Psychophysical approaches can offer useful additional insight, by providing objective measures of sensory differences at the perceptual level. In the current study, we used a validated battery of psychophysical vibrotactile tasks to assess how alterations in sensory perception contribute to observationally assessed sensory reactivity, IU, and anxiety. Data from 38 autistic children (aged 8 12 years; 27 with co-occurring Attention Deficit/Hyperactivity Disorder) were included in the analyses. Consistent with previous findings, observational parent-report measures of sensory reactivity, anxiety, and child-reported IU, were positively intercorrelated. Mediation analyses showed that IU fully mediated an association between sensory reactivity and anxiety, and that anxiety partially mediated an association between sensory reactivity and IU. Of the measured vibrotactile thresholds, only simultaneous frequency discrimination (SFD) thresholds significantly correlated with parent-reported sensory reactivity. Interestingly, we found that sensory reactivity fully mediated an association between SFD threshold and anxiety, and between SFD threshold and IU. Taken together, these findings suggest a mechanistic pathway whereby low-level perceptual alterations contribute to sensory differences at the affective level, leading in turn to increased IU and anxiety. This stepwise association can inform therapeutic interventions for IU and anxiety in autism.