Background: Childhood anxiety and depression frequently co-occur. Exploring specificity in cognitive processes for anxiety and depression in childhood can provide insight into cognitive vulnerabilities contributing to the development of anxiety and depressive disorders and inform targeted psychological interventions. Anxiety sensitivity and rumination are robust cognitive vulnerabilities for anxiety and depression, respectively. However, despite conceptual similarities, they are rarely considered together within a single study. Aims: The current study explored specific and shared associations between anxiety sensitivity subscales and rumination and anxiety and depressive symptoms in unselected children. Method: Multiple regression analyses explored to what extent specific self-reported anxiety sensitivity subscales (physical, social and mental concerns) and rumination predicted anxiety and depressive symptoms in 147 unselected children, aged 7–11 years. Results: Physical and social concern subscales of anxiety sensitivity were specifically associated with anxiety, whilst rumination was specifically associated with depressive symptoms. The mental concerns subscale of anxiety sensitivity was independently associated with both anxiety and depressive symptoms. These associations were only partially mediated by rumination. Conclusions: Anxiety and depression in young people are characterized by specific and shared cognitions. Evidence for shared and specific associations between the cognitive vulnerabilities of anxiety sensitivity and rumination, and anxiety and depression highlight the utility of transdiagnostic research and confirm that cognitive therapies may benefit from targeting cognitive concerns relating specifically to the patient's presenting symptoms.