Anxiety disorders and depression are highly prevalent in adolescence (e.g., Merikangas et al. 2010) and show high rates of diagnostic comorbidity (e.g., Kessler et al. 2005; Moffitt et al. 2007). Further, dimensional approaches support the frequent co-occurrence of symptoms of anxiety and depression during adolescence and across the lifespan (e.g., Krueger et al. 2003; Seeley et al. 2011). Considerable evidence also supports the occurrence of these symptoms independently in youths, indicating that anxiety and depression are distinct yet related sets of symptoms or disorders (e.g., Achenbach et al. 2003; Boots and Wareham 2010; van Lang et al. 2005).