Anxiety preceded substance use while no reciprocal associations were observed. Depression mediated the association between anxiety and substance use. Symptoms of social phobia did not elevate the incidence of substance use, but general anxiety did. Frequent drunkenness was less significantly associated with anxiety the other two substance use variables. Co-morbid general anxiety increased the persistence of frequent alcohol use while co-morbid social phobia decreased its persistence. Continuity of frequent drunkenness and cannabis use were unaffected by co-morbid anxiety.