While Attention Deficit and Hyperactivity Disorder (ADHD) tends to be more commonly associated with externalizing disorders, mainly with Oppositional Defiant Disorder (ODD) and Conduct Disorder (CD), comorbidity between ADHD and internalising disorders (specifically Anxiety) must be considered. This study analyses how trait anxiety affects attentional tasks performance in a sample of children with and without ADHD. 220 participants aged 8 to 12 took part in this study, 122 males and 98 females, classified into four groups: comorbidity group or students with ADHD and trait Anxiety (ADHD+ANX; n = 73); ADHD group (n = 53); Anxiety group (ANX; n = 15); and a non-clinical group of students (n = 41). Participants were asked to complete two neuropsychological tasks related to selective and sustained dimensions of attention. Group differences were examined using Univariate Analysis of Variance (ANOVA) for each dependent variable, with the group as the independent variable. Data showed that children with ADHD performed worse than controls and children with trait anxiety in sustained and selective attention tasks, while children with trait anxiety achieved similar results to healthy children. Finally, the presence of Anxiety symptoms in ADHD slightly modified the results in attentional tasks. These results contribute to better understand the clinical symptomatology that accompanies ADHD and comorbid Anxiety and highlight the usefulness of the applied measures in the differential diagnosis of these disorders.