Attention-deficit/hyperactivity disorder (ADHD) has been associated with low levels of self-concept (academic, emotional, social or physical), although this association can differ in the function of the inattention or hyperactivity–impulsivity symptomatology. Furthermore, the relation between ADHD and self-concept can be mediated or moderated by the levels of anxiety. This work is aimed to examine the differential effect of inattention symptomatology and hyperactivity–impulsivity symptomatology on academic, emotional, social and physical self-concept and the mediating or moderating role of anxiety in this relationship. A total of 167 students (70.7% boys and 29.3% girls) aged between 11 and 16 participated in this study. Students’ ADHD symptomatology, self-concept in four areas (academic, emotional, social and physical self-concept) and trait anxiety were measured with the State-Trait Anxiety Inventory for Children. The results indicate that trait anxiety mediates the relationship between inattention and emotional, social and physical self-concept but does not moderate this relationship. Trait anxiety does not mediate or moderate the relationship between hyperactivity–impulsivity symptoms and self-concept. When inattention symptomatology increases, academic self-concept decreases directly, but students’ emotional, social and physical self-concept decreases indirectly through trait anxiety.