The present study examined the relation between anxiety and depression and threat perception abnormalities. Children were exposed to stories describing social situations. Some of the stories were ambiguous (i.e., these stories contained information that could be interpreted as threatening) whereas other stories were non-threatening (i.e., these stories contained no obvious trace of threat). From children's responses to the stories, several threat perception indices were derived. Children's level of anxiety and depression were assessed by means of self-report questionnaires. Results indicated that high levels of anxiety were accompanied by a high frequency of threat perception, high ratings of threat, a high frequency of threatening interpretations, high levels of negative feelings and cognitions, and an early detection of threat. Interestingly, significant associations between anxiety and threat perception abnormalities were not only observed in response to ambiguous stories but also in relation to non-threatening scenarios. Furthermore, depression was also connected with threat perception distortions. Even when controlling for anxiety levels, depression remained significantly related to threat frequency, threat ratings, and threat thresholds.