It is well known that comorbidity is the rule, not the exception, for categorically defined psychiatric disorders, and this is also the case for internalizing disorders of depression and anxiety. This theoretical review paper addresses the ubiquity of comorbidity among internalizing disorders. Our central thesis is that progress in understanding this co-occurrence can be made by employing latent dimensional structural models that organize psychopathology as well as vulnerabilities and risk mechanisms and by connecting the multiple levels of risk and psychopathology outcomes together. Different vulnerabilities and risk mechanisms are hypothesized to predict different levels of the structural model of psychopathology. We review the present state of knowledge based on concurrent and developmental sequential comorbidity patterns among common discrete psychiatric disorders in youth, and then we advocate for the use of more recent bifactor dimensional models of psychopathology (e.g., p factor; Caspi et al., 2014) that can help to explain the co-occurrence among internalizing symptoms. In support of this relatively novel conceptual perspective, we review six exemplar vulnerabilities and risk mechanisms, including executive function, information processing biases, cognitive vulnerabilities, positive and negative affectivity aspects of temperament, and autonomic dysregulation, along with the developmental occurrence of stressors in different domains, to show how these vulnerabilities can predict the general latent psychopathology factor, a unique latent internalizing dimension, as well as specific symptom syndrome manifestations.