In this genetically informative and longitudinal study of women, we investigated the nature of individual differences in tendencies to depression (TD) and anxiety (TA) as well as in the probability to develop unipolar mood disorders (UMDs), anxiety disorders (ADs) or both. Specifically, we examined the roles of neuroticism, negative and positive life events and their interplay as heritable and environmental factors of variance in TD and TA. Cross‐sectional data from a total of 1200 women including 232 patients (suffering from UMDs and/or ADs) and longitudinal data from 630 female twins including 260 complete pairs were analysed. The analyses yielded that variance in neuroticism mediated the vast majority of the genetic variance in both TD (about 85–90%) and TA (about 70–75%). Negative life events additionally contributed as risk factors accounting for common and specific environmental variance in both TD and TA, whereas positive life events only acted as protective factors in the case of TD. Moreover, TD but not TA was associated with both the probability of exposure and the sensitivity to negative life events and a negative life‐event balance (i.e. more negative than positive experiences). The results were discussed within the framework of additive, dynamic and synergetic diathesis–stress models. Copyright © 2016 European Association of Personality Psychology