Social vigilance is a behavioral strategy commonly used in adverse or changing social environments. In animals, a combination of avoidance and vigilance allows an individual to evade potentially dangerous confrontations while monitoring the social environment to identify favorable changes. However, prolonged use of this behavioral strategy in humans is associated with increased risk of anxiety disorders, a major burden for human health. Elucidating the mechanisms of social vigilance in animals could provide important clues for new treatment strategies for social anxiety. Importantly, during adolescence the prevalence of social anxiety increases significantly. We hypothesize that many of the actions typically characterized as anxiety behaviors begin to emerge during this time as strategies for navigating more complex social structures. Here, we consider how the social environment and the pubertal transition shape neural circuits that modulate social vigilance, focusing on the bed nucleus of the stria terminalis and prefrontal cortex. The emergence of gonadal hormone secretion during adolescence has important effects on the function and structure of these circuits, and may play a role in the emergence of a notable sex difference in anxiety rates across adolescence. However, the significance of these changes in the context of anxiety is still uncertain, as not enough studies are sufficiently powered to evaluate sex as a biological variable. We conclude that greater integration between human and animal models will aid the development of more effective strategies for treating social anxiety.