The purpose of this investigation was to explore whether specific contextual (perception of family relationships) and personal (coping strategies) factors are more likely to be associated with anxiety or depression. The research was conducted on a sample of 331 children and adolescents ranging in age from 10 to 16 years who completed measures of the anxiety symptoms, depressive symptoms, coping strategies, and family interactions. Data were analysed according to gender differences. Among family variables, perceived father rejection was found to be best predictor of anxiety, and father and mother rejection, together with family satisfaction, was best predictor for the depression. Avoidance is a coping strategy that best predicts anxiety, and expressing feelings is a significant predictor of depression. This research strongly indicates that problems in family interactions are more associated and better predictors of depression than anxiety. Results support the argument that the two disorders are distinct and that they are characterized by unique coping and family profiles. Knowledge that anxiety and depression could be distinguished on the basis of family and coping variables may facilitate clinical assessment and treatment planning.