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There is an ongoing debate on the relationship between depression and anxiety, but data on similarities and differences in their predictor profiles are scarce. The aim of our study was to compare family and personality predictors of these disorders among 220 “emerging adults.” As such, two clinical groups with noncomorbid depressive and anxiety disorders, and one healthy control group were assessed by sociodemographic questionnaires, Structured Clinical Interview for DSM-IV Disorders and NEO Personality Inventory, Revised. We found significant overlap in family and personality risk profiles, with increasing effect size for predictors common to anxiety and depression when the categories “no disorder–anxiety disorder–depressive disorder” were considered as existing along a continuum. Among the contributing factors we assessed, family psychiatric history, family structure and conflicts with parents were more significant than personality traits. Our study indicates that emerging adults may be more vulnerable to depression than anxiety in the presence of family and personality risk factors.