Generalized anxiety disorder (GAD) and major depressive disorder (MDD) frequently occur together, but sociodemographic, behavioral, and diagnostic correlates of this comorbidity have not been comprehensively studied. Data from the nationally representative US sample surveyed in the National Epidemiologic Survey on Alcohol and Related Conditions–III (N = 36,309) were used to define three groups, individuals with a) both past-year GAD and MDD (n = 909, 16.9%), b) GAD only (n = 999, 18.6%), and c) MDD only (n = 3471, 64.5%). The comorbid group was compared with each single-diagnosis group on sociodemographic, behavioral, and diagnostic characteristics based on effect sizes (risk ratios and Cohen’s d) rather than p values because of the large sample sizes. Multivariable-adjusted logistic regression analyses were used to identify factors independently associated with the comorbid group. Bivariate analysis showed that the comorbid group had more parental and childhood adversities, additional psychiatric disorders, and poorer mental health quality of life than both single-disorder groups. Multivariable-adjusted logistic regression of the comorbid group showed that on two of five factors, additional psychiatric diagnoses were significantly more frequent than in the GAD-only group, and that on three of six factors, additional psychiatric diagnoses were significantly more frequent than in the MDD-only group. There is a significantly higher burden of social adjustment problems, comorbid psychiatric disorders, and poorer mental health–related quality of life among individuals with comorbid GAD-MDD than those with single disorders. The adversities associated with this non-SUD psychiatric comorbidity are comparable to those associated with the more extensively studied comorbidity of psychiatric and substance use disorders and deserve further research and treatment.