Preschool anxiety is highly prevalent and well known to predict risk for future psychopathology. The present study explores whether a diagnosis of an anxiety disorder in preschool interacts with (a) social skills and (b) cognitive ability to longitudinally predict psychopathology, two well-known protective factors, among a sample of 207 children measured at preschool (Mage = 4.34 years) and early childhood (Mage = 6.61 years). To assess social skills and cognitive ability, we utilized the Social Skills Rating Scale and the Differential Abilities Scale, respectively. To assess psychopathology, we utilized the parent report of the Preschool Age Psychiatric Assessment. Hierarchical linear regression models revealed significant interactions between both social skills and cognitive ability with preschool anxiety. We observed that social skills protected against emergent psychopathology for both children with and without anxiety, although this association was stronger for children with preschool anxiety. Contrastingly, cognitive ability served as a protective factor against future psychopathology primarily among children without preschool anxiety. Results from this study identify targets for future intervention and inform our understanding of how preschool anxiety, a common disorder among young children, shapes future psychopathology risk in childhood.