A growing body of research suggests that cognitive empathy (i.e., understanding other people’s mental states) may be impaired in socially anxious and depressed individuals. However, few studies have examined whether affective empathy (i.e., sharing other people’s emotional states, referred to as “affect sharing”) may likewise be impaired in either form of psychopathology. In Study 1 (n = 202), we examined the unique association between social anxiety (or depression) and affect sharing and the moderating role of anhedonia and stimuli valence above and beyond depression (or social anxiety). No main or interaction effects were found for social anxiety or depression in the prediction of affect sharing. In Study 2, we conducted a direct replication of Study 1 with a larger sample (n = 324), which confirmed our findings from Study 1. Thus, the unique effects of social anxiety and depression may be more related to difficulties in cognitive, rather than affective, empathic processes.