In this article, we briefly overview how the expression, measurement, and treatment of anxiety in autism may be different from the general population. We review the literature on links between sensory processing differences and anxiety, which show transdiagnostic patterns but are an especially prominent feature of anxiety in autism. Specifically, we focus on how the sense of interoception, i.e., how we perceive sensory information from within our bodies, contributes to anxiety in autism. We present new findings integrating multimodal interoceptive measures and total anxiety symptoms in a sample of n = 38 non-autistic and n = 43 autistic individuals, ages 8–55 years. Using principal components analysis, we found two components relating to interoceptive confusion (i.e., self-reported ability to localize and interpret interoceptive cues): one component that closely relates to anxiety symptoms and one component that is distinct from anxiety. Interoceptive perception (i.e., performance on a lab-based task) was uniformly related to interoceptive confusion when distinguished from anxiety but showed complex relations with total anxiety symptoms. Combined, these findings suggest meaningful subtypes of interoceptive difficulties and their interrelationship with anxiety. We present conclusions and future directions for consideration of individual differences, toward creating a personalized understanding of anxiety-interoception links.