Anxiety disorders and sensory over-responsivity (SOR) are common in children with autism spectrum disorders (ASD), and there is evidence for an association between these two conditions. Currently, it is unclear what causal mechanisms may exist between SOR and anxiety. We propose three possible theories to explain the association between anxiety and SOR: (a) SOR is caused by anxiety; (b) Anxiety is caused by SOR; or (c) SOR and anxiety are causally unrelated but are associated through a common risk factor or diagnostic overlap. In this paper, we examine support for each theory in the existing anxiety, autism, and neuroscience literature, and discuss how each theory informs choice of interventions and implications for future studies.