Although maladaptive explanatory style correlates with depression, research has also linked maladaptive attributions with anxiety, suggesting that attributional style cognitions are not unique to depression. Minimal work has explored whether the pattern of relationships among attributional style, depression, and anxiety holds across cultures. Thus, the current study examined these relationships in a sample of New Zealand children and evaluated the specificity of maladaptive attributional cognitions to depression. Sixty-nine New Zealand school children ages 8 to 14 responded to three self-report measures: Children's Depression Inventory, Children's Manifest Anxiety Scale-Revised, Children's Attributional Style Questionnaire. Scores on the measures were comparable in some respects with those previously reported in the literature. Both depression and anxiety scores were significantly correlated with attributional style. However, multiple regression analysis revealed that depression but not anxiety significantly predicted overall attributional style. Thus, anxiety was no longer significantly correlated with maladaptive explanatory style upon controlling for depression. Given the high comorbidity of anxiety and depression, the present results have implications for prior research finding maladaptive attributions in other forms of psychopathology without controlling for depression.