Background: The aim was to study the comorbidity of oppositional defiant disorder (ODD) and anxiety disorders (AD) among preschool children of the general population, and to assess the contribution of comorbidity to the child’s functional impairment. Method: 622 children were assessed at the ages of 3 and 5, through a diagnostic interview. They were clustered into three diagnostic groups: only ODD, only AD and comorbid ODD-HAD. Results: At age 3, ODD was associated with specific phobia, OR = 4.7, 95% CI [1.4, 14.1], and at age 5, with any anxiety disorder, OR = 3.9; 95% CI [1.8, 8.4]. ODD at age 3 was predictive of separation anxiety at age 5, OR = 4.1; 95% CI [1.2, 14.3]. Comorbid ODD-HAD cases showed a higher risk of functional impairment at school and in behavior toward others. Sex and socioeconomic status were not related to the diagnostic group. Conclusions: ODD-i-AD comorbidity can be identified in preschool children. Early identification of this association is needed to adequately treat the affected children.