Assessing neural commonalities and differences among depression, anxiety and their comorbidity is critical in developing a more integrative clinical neuroscience and in evaluating currently debated categorical vs dimensional approaches to psychiatric classification. Therefore, in this study, we sought to identify patterns of anomalous neural responding to criticism and praise that are specific to and common among major depressive disorder (MDD), social anxiety disorder (SAD) and comorbid MDD-SAD. Adult females who met formal diagnostic criteria for MDD, SAD or MDD-SAD and psychiatrically healthy participants underwent functional magnetic resonance imaging as they listened to statements directing praise or criticism at them or at another person. MDD groups showed reduced responding to praise across a distributed cortical network, an effect potentially mediated by thalamic nuclei undergirding arousal-mediated attention. SAD groups showed heightened anterior insula and decreased default-mode network response to criticism. The MDD-SAD group uniquely showed reduced responding to praise in the dorsal anterior cingulate cortex. Finally, all groups with psychopathology showed heightened response to criticism in a region of the superior frontal gyrus implicated in attentional gating. The present results suggest novel neural models of anhedonia in MDD, vigilance-withdrawal behaviors in SAD, and poorer outcome in MDD-SAD. Importantly, in identifying unique and common neural substrates of MDD and SAD, these results support a formulation in which common neural components represent general risk factors for psychopathology that, due to factors that are present at illness onset, lead to distinct forms of psychopathology with unique neural signatures.