A subsample of children and young people (CYP) with anxiety disorders presents with comorbid behavioral problems. These CYP have greater impairment in daily life, profit less from current treatments, and have an increased risk for continued mental problems. We investigated two potential explanations for these comorbid behavioral problems. First, high punishment sensitivity (PS) may lead to a strong inclination to experience threat, which may not only elicit anxiety but also defensive behavioral problems. Second, behavioral problems may arise from high reward sensitivity (RS), when rewards are not obtained. Behavioral problems may subsequently elicit parental rejection, thereby fueling anxiety. We used a cross-sectional (age = 16.1, N = 61) and prospective (age = 22.2, N = 91) approach to test the relationship between PS/RS and comorbid behavioral problems. Participants were a subsample of highly anxious CYP from a large prospective cohort study. PS/RS were indexed by a spatial orientation task. We also investigated the prospective association between behavioral problems and anxiety at 6-year follow-up, and the proposed mediation by parental rejection. PS and RS showed no cross-sectional or prospective relationships with comorbid behavioral problems in highly anxious CYP. Yet, behavioral problems in adolescence showed a small prospective relationship with anxiety in young adulthood, but this was not mediated nor moderated by parental rejection. No evidence was found for PS/RS being involved in comorbid behavioral problems in anxious CYP. Findings point to comorbid behavioral problems as potential factor contributing to the further increase of anxiety.