Objective: Test changes in (a) coping efficacy and (b) anxious self-talk as potential mediators of treatment gains at 3-month follow-up in the Child/Adolescent Anxiety Multimodal Treatment Study (CAMS). Method: Participants were 488 youth (ages 7-17; 50.4% male) randomized to cognitive-behavioral therapy (CBT; Coping cat program), pharmacotherapy (sertraline), their combination, or pill placebo. Participants met Diagnostic and Statistical Manual for Mental Disorders-Fourth Edition (DSM-IV) criteria for generalized anxiety disorder, social phobia, and/or separation anxiety disorder. Coping efficacy (reported ability to manage anxiety provoking situations) was measured by youth and parent reports on the Coping Questionnaire, and anxious self-talk was measured by youth report on the Negative Affectivity Self-Statement Questionnaire. Outcome was measured using the Pediatric Anxiety Rating Scale (completed by Independent Evaluators blind to condition). For temporal precedence, residualized treatment gains were assessed at 3-month follow-up. Results: Residualized gains in coping efficacy mediated gains in the CBT, sertraline, and combination conditions. In the combination condition, some unique effect of treatment remained. Treatment assignment was not associated with a reduction in anxious self-talk, nor did anxious self-talk predict changes in anxiety symptoms. Conclusions: The findings suggest that improvements in coping efficacy are a mediator of treatment gains. Anxious self-talk did not emerge as a mediator. What is the public health significance of this article? These findings suggest that, within empirically supported treatments for anxiety in youth, the youth's self-perceived ability to manage anxiety provoking situations plays a role in beneficial change.