Social anxiety (SA) is frequently observed among patients diagnosed with psychosis as well as among individuals with delusion-like experiences (DLEs). A heightened level of SA has been recognized to precede the development of psychotic symptoms; however, the detailed mechanisms that link SA to delusional ideation remain unrecognized. Since social anxiety is associated with the presence of cognitive biases and biased cognitive processes have been found to play a role in the development and maintenance of delusions, we hypothesized that cognitive biases may mediate in the relationship between social anxiety and DLEs. A total sample of 202 healthy individuals with mean age 35.59 (SD = 17.15) was assessed for the presence of delusion-like experiences, social anxiety, as well as the threatening events theme and anomalous perception theme of cognitive biases. The threatening events theme was found to fully mediate the linkage between fear of social situations and DLEs (β = 0.12, p < 0.05). The threatening events theme was also found to be a partial mediator in the association between social avoidance and DLEs (β = 0.20, p < 0.05), and between the overall level of social anxiety and DLEs (β = 0.18, p < 0.05). Our findings suggest that social anxiety may influence DLEs by providing the threatening events theme of cognitive biases.