Background There is controversy on whether generalized anxiety disorder (GAD) and major depressive disorder (MDD) constitute the same or separate disorders. This study sought to examine the factor structure of the DSM‐IV diagnostic criteria of GAD and MDD and the patterns of comorbidity associated with both disorders. Methods Data were drawn from the National Epidemiological Survey on Alcohol and Related conditions (NESARC), a representative sample of the adult general population in the United States (N = 43,093). Sociodemographic and psychiatric comorbidity correlates of GAD, MDD, and co‐occurring GAD‐MDD were obtained. Exploratory and confirmatory factor analyses of the DSM‐IV diagnostic criteria for GAD and MDD were conducted, followed by a Multiple Indicators Multiple Causes (MIMIC) model to examine the invariance of the model across several sociodemographic covariates. Results A bifactor model with one general factor underlying all the MDD and GAD diagnostic criteria and another factor with large loadings only for the GAD criteria best represented the latent structure. This model showed excellent fit indices (CFI = 1.00, TLI = 1.00, RMSEA < 0.02), and a high degree of invariance across sociodemographic covariates. The comorbidity patterns of individuals with MDD only (n = 4,885), GAD only (n = 947) and GAD‐MDD (n = 810) were clearly distinguishable. Conclusions The latent structure of the diagnostic criteria of MDD and GAD and their comorbidity patterns suggests that GAD and MDD are closely related but different nosological entities, with distinct latent structures, clinical manifestations, and patterns of comorbidity.