BACKGROUND: Depressive and anxiety symptoms often co-occur resulting in a debate about common and distinct features of depression and anxiety. METHODS: An exploratory factor analysis (EFA) and a bifactor modelling approach were used to separate a general distress continuum from more specific sub-domains of depression and anxiety in an adolescent community sample (n = 1159, age 14). The Mood and Feelings Questionnaire and the Revised Children's Manifest Anxiety Scale were used. RESULTS: A three-factor confirmatory factor analysis is reported which identified a) mood and social-cognitive symptoms of depression, b) worrying symptoms, and c) somatic and information-processing symptoms as distinct yet closely related constructs. Subsequent bifactor modelling supported a general distress factor which accounted for the communality of the depression and anxiety items. Specific factors for hopelessness-suicidal thoughts and restlessness-fatigue indicated distinct psychopathological constructs which account for unique information over and above the general distress factor. The general distress factor and the hopelessness-suicidal factor were more severe in females but the restlessness-fatigue factor worse in males. Measurement precision of the general distress factor was higher and spanned a wider range of the population than any of the three first-order factors. CONCLUSIONS: The general distress factor provides the most reliable target for epidemiological analysis but specific factors may help to refine valid phenotype dimensions for aetiological research and assist in prognostic modelling of future psychiatric episodes.