Altered sensory processing has been linked to symptoms of obsessive-compulsive disorder (OCD) and anxiety disorders (ADs) in youth, but few studies have examined sensory processing in clinical samples and no study has analyzed self-report data from youth meeting diagnostic criteria for OCD or ADs. This study included 86 youth with OCD, 82 youth with ADs, and 46 youth without psychiatric disorders. Participants completed the adolescent version of the Sensory Profile and scales measuring three symptom dimensions of OCD, four symptom dimensions of anxiety, and symptoms of major depression. Results showed that different forms of sensory processing difficulties (sensitivity, avoidance, low registration) were adequately captured by one broad sensory processing factor. Youth with OCD and ADs reported statistically significantly more sensory difficulties than youth without psychiatric disorders, but the two clinical groups did not differ from each other. Altered sensory processing in the clinical groups was not explained by the presence of neurodevelopmental disorders. Sensory difficulties were moderately to strongly related to all self-reported symptom dimensions, and uniquely related to the OCD dimension of symmetry/ordering and the anxiety dimensions of panic and social anxiety. Most youth in the clinical groups were classified as having difficulties with sensory processing. The present study shows that sensory processing difficulties are common in youth with OCD and ADs, not explained by co-occurring neurodevelopmental disorders, and linked to a host of internalizing symptoms. More research is needed to identify whether sensory processing difficulties precede, follow, or mutually reinforce the development of OCD and ADs in youth.