The aim of this study was to assess the clinical and socioeconomic indicators associated with dental anxiety in preschool children with severe dental caries. A total of 100 children between 3 and 5 years of age were selected during a dental screening procedure. The selection criteria were having at least one tooth with dental caries and a visible pulpal involvement, ulceration, fistula, and abscess (PUFA) index of ≥1 in primary teeth. Before the clinical examination or any treatment procedure was performed, we evaluated the children’s dental anxiety using the Facial Image Scale (FIS). Parents completed a questionnaire on socioeconomic conditions, which included the family structure, number of siblings, parental level of education, and family income. A dentist blinded to FIS and socioeconomic data performed the clinical examination. Poisson regressions associate clinical and socioeconomic conditions with the outcome. Most of the children (53%) experienced extensive dental caries (dmf-t ≥ 6), and all children had severe caries lesions, with a PUFA index of ≥1 in 41% and that of ≥2 in 59%. The multivariate adjusted model showed that older children (4–5-year old) experienced lower dental anxiety levels compared with younger children (3-year old) (RR = 0.35; 95%CI: 0.17–0.72 and RR = 0.18; 95%CI: 0.04–0.76, respectively), and children with three or more siblings were associated with higher levels of dental anxiety (RR = 2.27; 95%CI: 1.06–4.87). Older age is associated with low dental anxiety, and more number of siblings is associated with high dental anxiety in preschool children, whereas the severity or extent of dental caries is not associated with dental anxiety.