We investigated the nature of latent shared etiological elements in 398 Italian twin pairs aged 8–17, explaining covariation between high levels of anxiety symptoms and low social competence. We found significant negative correlations between Child Behaviour Checklist/6–18 Social Competence Scale and three (Panic Anxiety, Separation Anxiety, Social Anxiety) out of five Screen for Child Anxiety Related Disorders anxiety subscales. Results from causal analysis seem to exclude the hypothesis that co-occurrence between Anxiety Symptoms and Social Competence could be due to a direct phenotypic effect of one trait upon the other. Multivariate analysis suggested that both genetic and shared environmental components contribute to the phenotypic correlation between Social Competence and Anxiety Subscales, whereas unique environmental factors have a negligible influence. This means that both common genetic and shared environmental causal factors contribute simultaneously to increase risk of having low Social Competence and high Anxiety scores. In particular, covariation with Social Competence seems to be influenced by both genetic and shared environmental causal components in Separation Anxiety and Social Anxiety, whereas environmental factors have an irrelevant influence for covariation with Panic/Somatic Anxiety Subscale. Our results support the adoption of a broader view of the relationships between psychopathology and diminished social competences in childhood for both clinicians and educators.