Adolescents frequently victimized by peers are two to three times more likely to develop an anxiety disorder than their non-victimized peers. However, the fine-grained mechanisms that explain how peer victimization confers risk for anxiety in adolescents’ daily lives are not well-understood. Leveraging an intensive longitudinal design, this study examined same- and cross-day links between peer victimization and anxiety, investigating social threat sensitivity as a potential underlying mechanism. One hundred ninety-five adolescents (Mage = 16.48, SDage = 0.35; 66% female, 27% male, 11% non-binary, identifying with another gender; 48% White, 20% Asian, 15% Black, 17% identifying with another race/ethnicity) completed brief daily assessments of peer victimization, social threat sensitivity, and anxious affect for 14 days. Multilevel analyses indicated that adolescents reported greater anxious affect on days when they experienced peer victimization compared to days without victimization. Although peer victimization did not predict anxious affect the following day, it was associated with increased anxious affect two days later. Social threat sensitivity significantly mediated the same-day, but not cross-day, association between peer victimization and anxious affect, controlling for prior-day threat sensitivity and anxiety. The findings suggest that heightened social vigilance partially accounts for anxious affect in adolescents facing peer victimization in daily life.