Several lines of research suggest there is considerable overlap between anxiety and depression and that it is difficult to distinguish between these two constructs. However, a few studies utilizing factor analytic procedures have provided evidence that anxiety and depression can be differentiated when measures of these constructs are considered at the item level. In addition, there is some evidence that differentiation can be accomplished in samples experiencing high levels of anxiety (i.e., a clinically anxious sample; B. J. Cox, R. P. Swinson, L. Kuch, & J. Reichman, 1993). In the present study, this research strategy was extended to a sample of patients with high levels of depressed mood (i.e., a mood disorders sample; N = 378). Their responses to widely used measures of depression (i.e., Beck Depression Inventory; A. T. Beck, C. H. Ward, M. Mendelson, J. Mock, & J. Erbaugh, 1961) and anxiety (i.e., Spielberger State-Trait Anxiety Inventory—State subscale; C. D. Spielberger, R. L. Gorsuch, & R. E. Lushene, 1970) were entered into a principal-components analysis with oblique rotation. A 4-factor solution was retained. This solution was comprised of factors representing anxiety, anxiety absent (a reverse scored factor), cognitive symptoms of depression, and somatic/vegetative symptoms of depression. These findings indicated that anxiety and depression, as emotional states, can be differentiated within a mood disorders sample, using existing popular self-report measures. The clinical and research implications of these findings are briefly discussed.