Emotional responses to social interactions and the associated behavioural measures (e.g., self-directed behaviours, SDBs) have been little studied in New World monkeys, especially in wild settings. In this study, we investigated the factors affecting anxiety in a wild group of tufted capuchin monkeys (Cebus apella nigritus) using self-scratching (hereafter scratching) as its measure. Scratching was more strongly affected by the social context than by individual characteristics. Indeed, inter-individual variability was not explained by the age, sex and dominance rank of the monkeys. The monkeys scratched themselves more often when being distant from other group members than when in close proximity with them, suggesting that even short-distance separation from group members may be an important factor affecting capuchins emotional response. The risk of receiving aggression seemed also to elicit anxiety, as scratching was higher when in proximity to more dominant individuals and females, which were the categories of group members that were more aggressive. By contrast, scratching was lower when in proximity to more secure partners, like kin. Finally, scratching rates following the receipt of aggression were higher than at baseline, indicating a post-conflict increase in anxiety. Overall, our results contribute to the understanding of the factors affecting emotional responses in capuchin monkeys, confirming and expanding previous findings in other animal species.