Behavioral/emotional difficulties in children are the first sign of mental health problems. These problems are however, heterogeneous. A domain that may identify homogenous subgroups is hypothalamic-pituitary-adrenal function. This study tested whether epigenetic regulation of glucocorticoid receptor gene could explain the co-occurrence of anxiety problems in children with behavior problems. Four- to 16-year-old clinically referred children (N = 241) were measured for psychiatric symptoms, methylation of target CpG sites in blood or saliva, and morning cortisol levels in those who gave blood. Increased methylation of promoter 1F CpG sites was associated with higher vulnerability to co-occurring internalizing symptoms and morning cortisol. The results support increasing optimism that epigenetic regulation of key neuroendocrine systems might help explain hitherto unfathomable individual differences in susceptibility to psychiatric symptom profiles.