This study examines the relationships between neuroticism (higher-order vulnerability factor), the cognitive styles of worry, brooding and reflection (second-order vulnerability factors) and symptoms of anxiety and depression in three groups of patients: patients with Generalized Anxiety Disorder (GAD), with Major Depressive Disorder (MDD) and with Mixed Anxiety-Depressive Disorder (MADD). One hundred and thirty four patients completed a battery of questionnaires including measures of neuroticism, worry, rumination (brooding and reflection), anxiety and depression. Multiple mediation analyses indicate that worry may act as a mediating mechanism linking neuroticism and anxiety symptoms in the three diagnostic groups, whereas brooding-rumination may play a mediating role between neuroticism and depressive symptoms in patients with MDD and MADD and, with less certainty, in patients with GAD. Overall, our findings suggest that neuroticism may increase the risk of anxious and depressive symptoms via specific links involving either worry or brooding, respectively, and that both worry and brooding may operate in the three groups examined, irrespectively of whether anxiety or depression are the main emotions or whether they coexist without any clear predominance; consequently, we hypothesize the existence of "specific transdiagnostic" mechanisms.