Self-report measures of depression and anxiety in children are highly correlated and distinguishing between shared and independent factors in their etiologies is therefore problematic. The aim of this article was to test whether less correlated measures of depression and anxiety could be produced and, if so, what genetic and environmental factors would account for the variance in these symptoms. Second-order factor analysis of the items from two standardized self-report questionnaires of depression and anxiety collected from 395 pairs of same-sex twins aged 8 to 16 years resulted in purer dimensions of depression and anxiety. Behavioral genetic analyses confirmed the distinction between these two dimensions, and bivariate analyses revealed that the association between the two was primarily accounted for by shared genetic factors.