Asthma is a serious and vexing problem for many children and their families. Asthma, like most syndromes, has many symptoms and potential causes and effects. Studies have shown that pediatric asthma is associated with psychiatric disorders, but the specificity and temporality of these relations is not well known. This study examined the associations between any and specific psychiatric disorders and both childhood asthma and other childhood chronic illnesses. The study used the Methods for the Epidemiology of Child and Adolescent Mental Disorders data, a four-site, community-based study of 1,285 pairs of youths and caretakers. Psychiatric disorders were assessed using the Diagnostic Interview Schedule for Children (DISC 2.3). Methods for the Epidemiology of Child and Adolescent Mental Disorders was also used to assess individual characteristics, parental reports of asthma, and other chronic illnesses. Asthma and ‘other’ chronic illnesses were associated with different psychiatric disorders. In particular, having a history of asthma was associated with having an anxiety disorder, after adjustment for potential confounding, but was not associated with having an affective disorder. Having a chronic illness other than asthma or cancer was associated with having any affective disorder and dysthymia but not anxiety disorder. These results call for more mechanistic research that explores the specific relations between childhood anxiety disorder and asthma and between affective disorder and other pediatric chronic illnesses.