Self-focused attention is considered to be a cognitive characteristic of depression. However, some articles report that self-focused attention is also related to anxiety. This study examines the differential relationships of self-focused attention to depression and anxiety. The Preoccupation Scale, Self-rating Depression Scale, and State-Trait Anxiety Inventory T-Form were administered to 454 undergraduate students. The results showed a partial correlation between self-focused attention and anxiety that was significant while controlling for depression, but the partial correlation between self-focused attention and depression was not significant while controlling for anxiety. In addition, the results of an analysis of covariance structure revealed that self-focused attention was related to anxiety, and the relationship between self-focused attention and depression was due to the mediating effect of anxiety. Therefore, it was suggested that self-focused attention appears to be a significant component of cognitive operations for anxiety, but not for depression.