Background Anxiety disorders and major depressive disorder (MDD) often co‐occur and share a broad range of risk factors. The goal of this study was to examine whether the co‐occurrence of anxiety disorders and MDD could be explained by an underlying latent factor and whether the risk factors exert their effect exclusively through this factor, directly on each disorder, or through a combination of effects at both levels. Methods Data were drawn from a large, nationally representative sample. Confirmatory factor analysis was used to identify the latent structure of anxiety disorders. A multiple indicators multiple causes (MIMIC) approach was used to assess the common and specific effects of risk factors for anxiety disorders. Results A one‐factor model provided a good fit to the co‐occurrence of anxiety disorders. Low self‐esteem, family history of depression, female sex, childhood sexual abuse, White race, years of education, number of traumatic experiences, and disturbed family environment increased the risk of anxiety disorders and MDD through their effect on the latent factor. There were also several direct effects of the covariates on the disorders, indicating that the effect of the covariates differed across disorders. Conclusions Risk for anxiety disorders and MDD appears to be mediated partially by a latent variable underlying anxiety disorders and MDD, and partially by disorder‐specific effects. These findings may contribute to account for the high rates of comorbidity among disorders, identify commonalities in the etiologies of these disorders, and provide clues for the development of unified preventive interventions.