Anxiety disorders are the most common psychiatric disorders in childhood and represent a high risk for adult mental disorders. The neurocircuitries of anxiety are known to interact with the neurocircuitry of stress. The neuropeptide oxytocin is known for its anxiolytic and antistress effects. This study is the first to examine oxytocin release in response to psychosocial stress in children and adolescents with anxiety disorders while monitoring the reactivity of the hypothalamic-pituitary-adrenal (HPA) axis. Altogether 32 adolescents with anxiety disorders and 32 healthy adolescents (aged 11–18 years) completed the Trier Social Stress Test. We measured salivary oxytocin and cortisol, subjective stress ratings, and heart rate. Salivary oxytocin and cortisol concentrations increased significantly after stress exposure, with no significant group differences. Pre-stress oxytocin levels positively correlated with cortisol levels in all participants during recovery. Healthy adolescents had higher levels of cortisol recovery. At all measurement points, participants with anxiety disorder reported significantly higher subjective stress and anxiety levels than the healthy controls. Across all participants, higher levels of cortisol and oxytocin recovery were associated with lower subjective stress levels during recovery. Oxytocin emerged as a consistent stress marker regardless of the presence of anxiety disorder, indicating its importance in post-stress recovery and subjective stress experience. Future studies are needed on the interactions between oxytocin and HPA axis in the context of psychopathologies.