Previous research established that children with ADHD and comorbid anxiety have a later age of ADHD onset, show less off-task and hyperactive behavior, and have more school problems than children with ADHD alone. Comorbid anxiety appears to ameliorate behavioral inhibition deficits, worsen working memory problems, and lengthen reaction times in ADHD. This study investigated the effect of comorbid anxiety on a broad range of neurocognitive functions and includes child-, parent- and teacher reports of anxiety. The sample consisted of 509 children in the age range 5-19 years, including 238 children with a diagnosis of ADHD combined subtype and 271 normal control children. Children were tested on a broad battery of neurocognitive tasks that proved highly sensitive to ADHD in previous work. Linear Structural Equation Modeling (SEM) was used to estimate the effect of comorbid anxiety on the neurocognitive functions. Child reported anxiety was associated with slower motor speed and response speed and better behavioral inhibition. Teacher reported anxiety was related to worse time production. Parent reported anxiety was not significantly associated with any of the neurocognitive functions. Compared to parent and teacher reports of anxiety, child reported comorbid anxiety shows foremost the largest associations with the neurocognitive dysfunctions observed in children with ADHD. This stresses the importance of including child self-reported anxiety assessments in clinical and research practice.