Human studies with self-reported measures have suggested a link between an avoidant coping style and high anxiety. Here, using the common marmoset as a model, we characterize the latent factors underlying behavioral responses of these monkeys towards low and high imminence threat and investigate if a predominantly avoidant behavioral response to high imminence threat is associated with greater anxiety-like behavior in a context of low imminence threat. Exploratory factor analysis (EFA) of the human intruder test of low imminence threat revealed a single factor in which a combination of active vigilance and avoidance responses underpinned anxiety-like behavior. In contrast, two negatively-associated factors were revealed in the model snake test reflecting active and avoidant coping to high imminence threat. Subsequent analysis showed that animals with a predominantly avoidant coping style on the model snake test displayed higher anxiety-like behavior on the human intruder test, findings consistent with those described in humans. Together they illustrate the richness of the behavioral repertoire displayed by marmosets in low and high imminence threatening contexts and the additional insight that factor analysis can provide by identifying the latent factors underlying these complex behavioral datasets. They also highlight the translational value of this approach when studying the neural circuits underlying complex anxiety-like states in this primate model.