This study examined associations of generalized and social anxiety with (1) age at first use of tobacco, alcohol, and marijuana and (2) interval from first use to first problem use of each substance. Participants were 503 males who comprised the youngest cohort (first assessed in the first grade) of the Pittsburgh Youth Study, a longitudinal community-based study of boys. Annual assessments of generalized and social anxiety, delinquency, and substance use from first grade through high school were included. Both types of anxiety predicted earlier first use of alcohol and tobacco, and generalized anxiety predicted earlier first use of marijuana. Both types of anxiety predicted the progression from first use to problems related to marijuana. The effect of generalized anxiety tended to be significant above and beyond the effect of delinquency, while the effect of social anxiety on risk for first use of substances was not. Overall, the associations between anxiety and substance use and related problems depend on the class of substance and the type of anxiety.