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The goal of the current study was to examine the complex links among anxious solitude, classroom climate, engagement, achievement, and gender. In particular, drawing upon the differential susceptibility hypothesis (Belsky, 1997), we investigated if children high in anxious solitude were particularly sensitive and responsive to the classroom environment. Participants were N = 712 children in Grade 3, drawn from the National Institute of Child and Human Development (NICHD) Study of Early Child Care and Youth Development data set. Classroom climate and engagement were assessed using the Classroom Observation Scale (NICHD, 1998). Teachers completed the Teacher Report Form (Achenbach, 1991) as a measure of anxious solitude and the Academic Rating Scale (NICHD, 2010) as a measure of achievement. Hypothesized associations among variables were tested by way of a moderated-mediation model. Among the results, engagement was found to mediate the relation between classroom climate and achievement. In addition, anxious solitude and gender were found to moderate the relation between classroom climate and engagement. Support for the differential susceptibility hypothesis was found, suggesting that children high in anxious solitude may be more reactive (both positively and negatively) to elements of the classroom environment. In addition, gender differences were observed, indicating that boys may be more responsive to the classroom environment as compared with girls. Implications for future research and educational policies are discussed.