Background Sexual minority adolescents (i.e. youth not exclusively heterosexual) report more anxiety than heterosexual youth on symptom questionnaires but no research has used standardised diagnostic tools to investigate anxiety disorder risk. This study uses a UK birth cohort to investigate the risk of anxiety disorders in sexual minority and heterosexual youth using a computerised structured clinical interview and explores the influence of gender nonconformity, bullying and self‐esteem. Methods Participants were 4,564 adolescents (2,567 girls and 1,996 boys) from the Avon Longitudinal Study of Parents and Children (ALSPAC). Logistic regression analyses were performed to investigate the association between sexual orientation at 15.5 years and the presence of an anxiety disorder at 17.5 years. Covariates including maternal occupation, ethnicity, mother‐reported childhood gender nonconformity at 30, 42 and 57 months, child‐reported gender nonconformity at 8 years, child‐reported bullying between 12 and 16 years and self‐esteem at 17.5 years were added sequentially to regression models. Results Sexual minority adolescents (i.e. those not exclusively heterosexual) had higher early childhood gender nonconformity (CGN), lower self‐esteem and reported more bullying than adolescents identifying as 100% heterosexual. Minority sexual orientation at 15.5 years was associated with increased risk of an anxiety disorder at 17.5 years for girls (OR 2.55, CI 1.85–3.52) and boys (OR 2.48, CI 1.40–4.39). Adjusting for ethnicity, maternal occupation, mother‐reported and child‐reported CGN had minimal impact on this association. Adjusting for bullying between 12 and 16 years and self‐esteem at 17.5 years reduced the strength of the associations, although the overall association remained significant for both sexes (girls OR 2.14 and boys OR 1.93). Conclusions Sexual minority youth are at increased risk of anxiety disorders relative to heterosexual youth at 17.5 years. Bullying between 12–16 years and lower self‐esteem may contribute to this risk.