A multimethod assessment of features of social anxiety, which are also common in depression, was conducted with a design that allowed for evaluation of each state alone and in combination. From a community sample of 211 eight to twelve year-olds, four groups of children were defined: mixed; socially anxious; dysphoric; and control. Results provided evidence of the confounding between social anxiety and dysphoria, as the presence or absence of dysphoria exerted significant effects on the associated features of social anxiety. The mixed group was the most dysfunctional on almost all measures. General tears were more specific to social anxiety, and academic problems were more linked to dysphoria. Social anxiety and dysphoria were each associated with significant levels of fears regarding failure and criticism, low levels of self-worth, and negative self-perceptions that extended beyond the social domain. Social acceptance problems were not significantly present for the socially anxious group, but they were significant for the mixed group. Theoretical and methodological implications of the results are highlighted, and a possible temporal and theoretical relationship between social anxiety and depression in youth is put forth.