Comorbidity of anxiety and affective disorders in people with a diagnosis of schizophrenia is common. This study investigated the hypothesis that greater negative beliefs about illness and lower self-esteem will be significantly associated with the presence of anxiety or affective comorbidity in a sample of persons (n = 138) diagnosed with schizophrenia. The Structured Clinical Interview for the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition; the Positive and Negative Syndrome Scale; the Global Assessment of Functioning Scale; the Personal Beliefs about Illness Questionnaire; and the Rosenberg Self-Esteem Scale were all completed for each participant. Of the total sample, 62 (44.9%) had a comorbid anxiety or affective disorder. Logistic regression revealed that those with a comorbid anxiety or affective disorder had significantly lower levels of functioning (Global Assessment of Functioning), more negative appraisals of entrapment in psychosis (Personal Beliefs about Illness Questionnaire), and lower levels of self-esteem (Rosenberg Self-Esteem Scale). Although further research is required, the strong association between personal beliefs about self and illness and comorbidity suggests that negative beliefs about psychotic experiences and self-esteem may be linked to the development and maintenance of anxiety and affective comorbid conditions among people with a diagnosis of schizophrenia or the like.