Anxiety disorders are common both in adults and children. While there have been major advances in understanding the neurobiology of anxiety disorders in adults, progress has been more limited in the elucidation of the mechanisms underlying these disorders in childhood. There is a need to delineate childhood biological models, since anxiety represents a significant clinical problem in children and is a risk factor for the subsequent development of anxiety and depression in adulthood. We conducted a review of the literature regarding pharmacological challenge tests and direct hypothalamic–pituitary–adrenal axis measurement in children with anxiety disorders, with emphasis on panic disorder and social anxiety disorder. Studies identified were contrasted with those in adult panic disorder and social anxiety disorder. Despite this broad approach few studies emerged in children, with only 22 studies meeting inclusion criteria. When contrasted with adult neurobiological models of panic disorder and social anxiety disorder, children studied showed some abnormalities which mirrored those reported in adults, such as altered baseline respiration, altered responses to CO₂ challenge tests and blunted growth hormone response to yohimbine. However, results differed from adults with panic disorder and social anxiety in some aspects of noradrenergic and serotonergic function. For endpoints studied in panic disorder children, unlike adults, displayed a lack of baseline end-tidal CO₂ abnormalities and a different hypothalamic–pituitary–adrenal pattern response under low-dose CO₂. The biology of these anxiety disorders in children may only partially mirror that of adult anxiety disorders. However, caution is required as the evidence is limited, and many studies combined patients with panic disorder and social anxiety disorder with other disorders or non-specific anxiety. Further research is required to fully understand the biology and progression of childhood anxiety disorders.