Anxiety disorders and substance use disorders are highly comorbid, and such comorbidity complicates treatment and worsens prognosis. The mechanisms underlying the relationship between anxiety and substance use disorders are poorly understood. This paper reviews recent research attempting to explain these associations. Cognitive factors, such as attentional bias, expectancies, and anxiety sensitivity, appear to impact on the relation between anxiety and substance misuse. Temporality of the anxiety and substance use disorder may also indicate whether the substance use disorder is primary (anxiety may be a result of use) or secondary (substances may be used to self-medicate). Social phobia has been predominantly identified as a primary disorder preceding substance use, while the temporality of other anxiety and substance use disorders is less clear. The efficacy of concurrent treatment compared with separate treatment of either anxiety or substance use disorder is unclear and requires further research.