Social anxiety more than quadruples the risk of developing an alcohol use disorder, yet it is inconsistently linked to heavy alcohol use. Elucidation of the relation between social anxiety and alcohol use is an important next step in treating and preventing risky drinking. College students routinely face potentially anxiety-provoking social situations (e.g., meeting new people) and socially anxious undergraduates are especially vulnerable to alcohol-related impairment. Drinking to cope with social anxiety is thought to reinforce alcohol use, yet research on coping-motivated drinking among socially anxious students has yielded inconsistent findings. Further, undergraduate drinking varies by drinking context, yet the role of context in drinking behaviors among socially anxious individuals remains unclear. The current study sought to examine the relationship of social anxiety and drinking quantity in specific drinking contexts among undergraduates (N = 611). We also evaluated whether relevant drinking contexts mediated the relationship between social anxiety and alcohol-related problems. Clinically elevated social anxiety was related to heavier consumption in negative emotion (e.g., feeling sad or angry) and personal/intimate (e.g., before sexual intercourse) contexts, but not social/convivial contexts (e.g., parties, bars). Quantity of alcohol consumed in negative emotion and personal/intimate contexts mediated the relationship between social anxiety and drinking problem severity. Drinking in personal/intimate contexts demonstrated a unique mediational role. Findings suggest that heavy drinking in particular contexts (especially personal/intimate and negative emotion) may play an important role in drinking problems among socially anxious individuals.