The reasons for the positive association between anxiety disorders and asthma are unknown. We investigated the possible role of shared exposures in early life. We conducted a case-control study among adolescents (age 12-17 years) with and without asthma in urban Uganda, as part of a larger asthma case-control study. Anxiety disorders were diagnosed by psychiatric clinical officers. We focused on generalised anxiety disorder (GAD), panic disorder and social anxiety disorder. Asthma was doctor-diagnosed by study clinicians. We used questionnaires to collect data on early-life exposures. The data were analysed using multiple logistic regression. We enrolled 162 adolescents; 73 of them had asthma. Adolescents with asthma were more likely to have any of the three anxiety disorders studied (46.6%) than adolescents without asthma (21.4%) (adjusted OR (aOR) 2.68, 95% CI 1.30-5.53). The association was strong for GAD (aOR 4.49, 95% CI 1.48-13.56) and panic disorder (aOR 5.43, 95% CI 2.11-14.02), but not for social anxiety disorder. The early-life risk factors associated with anxiety disorders among adolescents were similar to asthma risk factors previously published, including urban residence at birth (aOR 3.42, 95% CI 1.29-9.09) and during most of the first 5 years of life (aOR 2.87, 95% CI 1.07-7.66), father's tertiary education (aOR 2.09, 95% CI 1.00-4.37), and adolescent's history of other allergy-related diseases (aOR 4.64, 95% CI 1.66-13.00). We confirm a positive association between anxiety disorders and asthma among adolescents in urban Uganda. The early-life risk factors associated with anxiety disorders among adolescents were similar to those for asthma in the same age group, suggesting shared underlying environmental exposures.