Substantial overlap exists between the mood and anxiety disorders. Previous research has suggested that their comorbidity can be explained by a shared factor (negative emotionality), but that they may also be distinguished by other unique components. The current study explicated these relations using an abnormal personality framework. Current diagnoses of major depression and several anxiety disorders were assessed in 563 Gulf War veterans. Participants also completed the schedule for nonadaptive and adaptive personality (SNAP) to determine how these disorders relate to abnormal personality traits. Analyses of individual diagnoses indicated that depression, generalized anxiety disorder (GAD), and post-traumatic stress disorder (PTSD) were more strongly related to personality than were other anxiety disorders. The Self-Harm Scale distinguished major depression from all other disorders, highlighting its significance for future structural models. Our results add to a growing body of evidence suggesting that GAD and PTSD have more in common with major depression than with their anxiety disorder counterparts.