Many children with anxiety disorders exhibit significant and persistent impairments in their social and interpersonal functioning. Two components essential for successful social interaction are empathy and theory of mind (ToM). Both constructs develop rapidly in childhood, but no study has simultaneously examined these skills in young children with emerging mental health problems, including those with symptoms of anxiety. This study investigated empathy and ToM in children with anxiety symptomatology and examined their relationship with anxiety severity. A cross-sectional study was carried out with 174 children aged 4–8 years with emerging mental health difficulties who were referred by school teachers for an assessment because of emotional, cognitive, or behavioural problems at school. Participants completed empathy and ToM tasks. Parents were interviewed and rated children’s emotional and behavioural problems. Correlational analyses indicated that elevated anxiety was associated with better cognitive ToM and worse affective empathy; there were no associations between anxiety and either cognitive empathy or affective ToM. Subsequent regression analyses demonstrated that whilst enhanced cognitive ToM was explained by age and verbal IQ, anxiety symptoms uniquely predicted impaired affective empathy. These results indicate that children with symptoms of anxiety have difficulty in sharing in other people’s emotions. As a result, they may find it difficult to behave in socially adequate ways in interactions with others that involve affective sharing. These findings encourage the use of early and targeted interventions that improve affective empathy development in children with anxiety symptoms.