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Epidemiological studies have consistently reported that depressive and anxiety disorders co-occur frequently. This paper reviews the evidence for three models that have been proposed to explain the relation between these two conditions—the tripartite, the approach-withdrawal, and valence-arousal models. Specifically, we focus on predictions that the three models generate for cross-sectional studies, prospective and family/twin studies of personality, and EEG studies. In sum, no model was strongly supported across all types of studies, though specific aspects of each model were. Because of the heterogeneity of depression and anxiety disorders, a model with 2–4 factors or dimensions may not be sufficient to explain the relation between the two conditions.