This study tested the associations of both resting vagal tone and vagal response to stress with anxiety control beliefs, anxiety, and aggression among 80 youths (aged 11–17 years). Measures included physiological assessments of emotion regulation along with youth self‐report of anxiety control beliefs, anxiety, and aggression and caregiver reports of their child's anxiety and aggression. Resting vagal tone was positively related to anxiety control beliefs, but negatively associated with anxiety. Conversely, higher levels of anxiety and aggression were associated with increased vagal tone during a cognitive stress task. Findings suggest associations between physiological and self‐report of emotion regulation (anxiety control beliefs) and that anxiety and aggression may have specific and nonspecific relations with physiological indices of emotion regulation.