Prominent structural models of depression and anxiety arise from 2 traditions: (a) the tripartite/integrative hierarchical model based on symptom dimensions, and (b) the fear/anxious-misery model based on diagnostic comorbidity data. The tri-level model of depression and anxiety was developed to synthesize these structural models, postulating that narrow (disorder-specific), intermediate (fear and anxious-misery), and broad (general distress) structural factors are needed to most fully account for covariation among these symptoms. Although this model has received preliminary support (Prenoveau et al., 2010), the current study compares it with the above established models and seeks to validate the best-fitting structure. We evaluated the tri-level model and alternative structural models in a large clinical sample (N = 1,000) using bifactor analysis. In exploratory and confirmatory subsamples, the tri-level model provided a good fit to the data and each of the 3 levels (narrow, intermediate, and broad) accounted for substantial variance; this model provided a superior fit relative to more parsimonious competing structural models. Furthermore, impairment was independently associated with all 3 levels of the tri-level model, comorbidity was most closely linked to the broad tri-level dimensions, and the factors generally showed the expected convergent/discriminant associations with diagnoses. Results suggested several revisions to prior research: (a) worry may be best modeled at the broadest structural level, rather than as an indicator of anxious-misery or fear; (b) social interaction anxiety may belong with anxious-misery, rather than fear; and (c) obsessive–compulsive disorder is generally associated with fear disorders, but hoarding is associated with both fear and anxious-misery.