While high levels of anxiety and depression are now recognized as major co‐occurring problems in children and young people with an autism spectrum disorder (ASD), research examining possible associations with individual differences in neurocognitive functioning has been limited. This study included 90 adolescents with an ASD aged 14–16 years with a full‐scale IQ > 50. Using structural equation modeling, we examined the independent relationships between multiple measures of executive functioning and social cognition on severity of anxiety or depressive symptoms. Results indicated a significant association between poorer executive functioning and higher levels of anxiety, but not depression. In contrast, social cognition ability was not associated with either anxiety or depression. This study is the first to report significant associations between executive functions and anxiety in ASD. This may suggest that poor executive functioning is one factor associated with the high prevalence of anxiety disorder in children and adolescents with ASD. Autism Res 2014, 7: 216–228. © 2014 International Society for Autism Research, Wiley Periodicals, Inc.