The Hospital Anxiety and Depression Scale (HADS) is a common screening instrument used to determine the levels of anxiety and depression experienced by a patient and has been extensively used in patients with coronary artery disease (CAD). This study aimed to establish the factor structure of HADS in a Malaysian sample of 189 patients with CAD. Factor analysis of HADS using principal component analysis with varimax rotation yielded 3 factors. Confirmatory factor analysis supported the use of HADS in assessing 3 distinct dimensions of psychological distress—namely, anxiety, anhedonia, and psychomotor retardation. The HADS showed good internal consistency and was found to be a valid measure of psychological distress among Malaysian patients with CAD. However, low mean scores on the original 2 factors—that is, anxiety and depression—and also on the 2 depression subscales—anhedonia and psychomotor retardation—suggests that the recommended cutoff score to screen for psychological distress among CAD patients be reevaluated. Further research to determine the generalizability and consistency for the tridimensional structure of the HADS in Malaysia is recommended.