This Special Issue of Cognition and Emotion addresses one of the cardinal concerns of affective science, which is overlapping and distinctive features of anxiety and depression. A central finding in the study of anxiety and depression is that they are moderately highly correlated with each other. This leads us to the question: What is behind this co-occurrence? Possible explanations relate to poor discriminant validity of measures; both emotional states are associated with negative affect; stressful life events; impaired cognitive processes; they share a common biological/genetic diathesis. However, despite a set of common (nonspecific) features, anxiety and depression are clearly not identical emotional states. Differences between them might be best viewed, for example, through their heterogeneous and multi-layered nature, adaptive functions and relations with regulatory processes, positive affect, and motivation or complex cognitive processes. In this introduction we consider several approaches (e.g. functional approach; tripartite model and content-specificity hypothesis) to which most research in this Special Issue is relevant. In addition, we have asked contributors to this Special Issue to indicate how their own studies on comparisons between anxiety and depression and models on anxiety and depression move this area of research to more mature science with applicability.