While recent research on psychotic illness has focussed on the nosological, clinical, and biological relationships between schizophrenia and bipolar disorder, little attention has been directed to the most common other psychotic diagnosis, major depressive disorder with psychotic features (MDDP). As this diagnostic category captures the confluence between dimensions of psychotic and affective psychopathology, it is of unappreciated heuristic potential to inform on the nature of psychotic illness. Therefore, the epidemiology and clinical characteristics of MDDP were compared with those of schizophrenia and bipolar disorder within the Cavan-Monaghan First Episode Psychosis Study (n = 370). Epidemiologically, the first psychotic episode of MDDP (n = 77) was uniformly distributed across the adult life span, while schizophrenia (n = 73) and bipolar disorder (n = 73) were primarily disorders of young adulthood; the incidence of MDDP, like bipolar disorder, did not differ between the sexes, while the incidence of schizophrenia was more common in males than in females. Clinically, MDDP was characterized by negative symptoms, executive dysfunction, neurological soft signs (NSS), premorbid intellectual function, premorbid adjustment, and quality of life similar to those for schizophrenia, while bipolar disorder was characterized by less prominent negative symptoms, executive dysfunction and NSS, and better quality of life. These findings suggest that what we currently categorize as MDDP may be more closely aligned with other psychotic diagnoses than has been considered previously. They indicate that differences in how psychosis is manifested vis-à-vis depression and mania may be quantitative rather than qualitative and occur within a dimensional space, rather than validating categorical distinctions.