Prominent cognitive theories postulate that an attentional bias toward threatening information contributes to the etiology, maintenance, or exacerbation of fear and anxiety. In this review, we investigate to what extent these causal claims are supported by sound empirical evidence. Although differences in attentional bias are associated with differences in fear and anxiety, this association does not emerge consistently. Moreover, there is only limited evidence that individual differences in attentional bias are related to individual differences in fear or anxiety. In line with a causal relation, some studies show that attentional bias precedes fear or anxiety in time. However, other studies show that fear and anxiety can precede the onset of attentional bias, suggesting circular or reciprocal causality. Importantly, a recent line of experimental research shows that changes in attentional bias can lead to changes in anxiety. Yet changes in fear and anxiety also lead to changes in attentional bias, which confirms that the relation between attentional bias and fear and anxiety is unlikely to be unidirectional. Finally, a similar causal relation between interpretation bias and anxiety has been documented. In sum, there is evidence in favor of causality, yet a strict unidirectional cause-effect model is unlikely to hold. The relation between attentional bias and fear and anxiety is best described as a bidirectional, maintaining, or mutually reinforcing relation.