While anxiety disorders (ADs) and pathological gambling (PG) frequently co-occur with each other and other Axis I and Axis II disorders, previous studies have not examined the relative influence of ADs on the co-occurrences between PG severity and non-anxiety psychopathologies. The current study used data from the National Epidemiologic Survey on Alcohol and Related Conditions (N = 43,093) to examine the influence of past-year ADs on the associations between past-year PG severity measures based on DSM-IV criteria for PG and non-anxiety psychiatric disorders. The findings revealed that increased PG severity was associated with Axes I and II psychopathology in both the groups with and without ADs. Significant anxiety-by-gambling-group interactions were also observed, particularly with respect to mood and personality disorders. The interactions indicate a stronger relationship between PG severity and psychopathology in participants without ADs than in those with ADs. Future research should investigate specific factors contributing to the co-occurrence of anxiety, gambling, and other psychiatric disorders and how the co-occurrences might influence clinically relevant phenomena such as treatment selection or course.