Deviant peer association has been identified as a risk factor for substance use. Anxiety has been examined as a moderator of this relationship in a limited capacity. Despite this, investigations of specific dimensions of anxiety as moderators of this relationship remain understudied. This study examined three dimensions of anxiety as moderators: physiological anxiety, worry/oversensitivity anxiety, and social concerns/concentration anxiety. The Pathways to Desistance data were used in analyses. Ordered logistic regression models were used to assess relationships of interest for three substance use outcomes: heavy episodic drinking, marijuana use, and cigarette use. Findings indicated that social concerns/concentration anxiety moderated the relationship between deviant peer association and marijuana use, but, contrary to predictions, a protective effect at higher levels of this form of anxiety was observed. Worry/oversensitivity anxiety also appeared to exert a significant and negative direct effect on all three substance use outcomes. Implications are discussed.