Background The prevalence of psychiatric disorders varies depending on the person's neighborhood context, their racial/ethnic group, and the specific diagnoses being examined. Less is known about specific neighborhood features that represent differential risk for depressive and anxiety disorders (DAD) across racial/ethnic groups in the United States. This study examines whether neighborhood etiologic factors are associated with DAD, above and beyond individual‐level characteristics, and whether these associations are moderated by race/ethnicity. Methods We utilized nationally representative data (N = 13,837) from the Collaborative Psychiatric Epidemiology Studies (CPES‐Geocode file). Separate weighted multilevel logistic regression models were fitted for any past‐year depressive and/or anxiety disorder, any depressive disorder only, and any anxiety disorder only. Results After adjusting for individual‐level characteristics, African Americans living in a neighborhood with greater affluence and Afro‐Caribbeans residing in more residentially unstable neighborhoods were at increased risk for any past‐year depressive disorder as compared to their non‐Latino white counterparts. Further, Latinos residing in neighborhoods with greater levels of Latino/immigrant concentration were at increased risk of any past‐year anxiety disorder. Lastly, Asians living in neighborhoods with higher levels of economic disadvantage were at decreased risk of any past‐year depressive and/or anxiety disorders compared to non‐Latino whites, independent of individual‐level factors. Differences across subethnic groups are also evident. Conclusions Results suggest neighborhood characteristics operate differently on risk for DAD across racial/ethnic groups. Our findings have important implications for designing and targeting interventions to address DAD risk among racial/ethnic minorities.