This is the first Dutch study investigating symptoms of five DSM-IV-classified anxiety disorders and depression in a large sample of pre-adolescent children with and without a migration background, adjusting for socioeconomic position (SEP) and social preference. Both are potential explanatory factors for differences in mental health among migrant children. We measured anxiety and depression scores with the self-report Revised Child Anxiety and Depression Scale (RCADS) in 2063 children (aged 8–13 years, 55% girls) in the Netherlands. Surinamese/Antillean, Turkish, and Moroccan children reported significantly higher anxiety scores than Dutch children. SEP and peer rejection partly explained higher anxiety scores. Surinamese/Antillean and Turkish children reported comparable depression scores to Dutch children, but Moroccan children reported lower depression scores after adjusting for SEP and peer rejection. Girls reported higher anxiety and depression levels across all four subgroups. Although differences between children with or without a migration background were small, these may increase in later life as the prevalence of anxiety and depression increases with age.