We present new multiband (UBVI) time-series data of helium burning variables in the Carina dwarf spheroidal galaxy. The current sample includes 92 RR Lyrae—six of them are new identifications—and 20 Anomalous Cepheids, one of which is new identification. The analysis of the Bailey diagram shows that the luminosity amplitude of the first overtone component in double-mode variables is located along the long-period tail of regular first overtone variables, while the fundamental component is located along the short-period tail of regular fundamental variables. This evidence further supports the transitional nature of these objects. Moreover, the distribution of Carina double-mode variables in the Petersen diagram (P1/P0 versus P0) is similar to metal-poor globulars (M15, M68), to the dwarf spheroidal Draco, and to the Galactic Halo. This suggests that the Carina old stellar population is metal-poor and affected by a small spread in metallicity. We use trigonometric parallaxes for five field RR Lyrae stars to provide an independent estimate of the Carina distance using the observed reddening free Period–Wesenheit [PW, (BV)] relation. Theory and observations indicate that this diagnostic is independent of metallicity. We found a true distance modulus of μ = 20.01 ± 0.02 (standard error of the mean) ± 0.05 (standard deviation) mag. We also provided independent estimates of the Carina true distance modulus using four predicted PW relations (BV, BI, VI, BVI) and we found: μ = (20.08 ± 0.007 ± 0.07) mag, μ = (20.06 ± 0.006 ± 0.06) mag, μ = (20.07 ± 0.008 ± 0.08) mag, and μ = (20.06 ± 0.006 ± 0.06) mag. Finally, we identified more than 100 new SX Phoenicis stars that together with those already known in the literature (340) make Carina a fundamental laboratory for constraining the evolutionary and pulsation properties of these transitional variables.