This study aimed to reveal the relationship between social comparison on social media, anxiety, and emotional eating problems among Chinese adolescents.The effects of sociocultural pressure and gender difference were also tested. Data were collected from 551 adolescents aged 15–17 living in China’s Shandong province. (1) Anxiety had a full mediating effect on the relationship between appearance-based social comparisons on social media and emotional eating. (2) Sociocultural pressure had a moderating effect on the relationship between social comparisons on social media and anxiety in both males and females. (3) Sociocultural pressure had an indirect effect on the relationship between appearance-based social comparisons on social media and emotional eating through anxiety in female but not male adolescents. Apart from the consistent effect of anxiety on emotional eating among all adolescents, our conclusions also open the possibility of different gender-based interventions.