This report compares event-related brain potentials (ERPs) of patients having a depressive disorder alone (n = 58), an anxiety disorder alone (n = 22), comorbidity of these disorders (n = 18), and healthy controls (n = 49). ERPs were recorded from 30 electrode sites during auditory oddball tasks using consonant-vowel syllables (phonetic) or complex tones (tonal). Overlapping ERP components were identified and measured using covariance-based principal components analysis. An early P3 subcomponent (P315) was larger in patients having an anxiety disorder alone when compared to depressed patients with or without an anxiety disorder and healthy controls, whereas a late P3 subcomponent (P400) was larger in patients having comorbidity of anxiety and depressive disorders than in the other groups. Also, the N2-P3 complex showed task-dependent hemispheric asymmetries, including larger N2-P3 amplitude over left than right temporoparietal sites during the phonetic oddball task. This hemispheric asymmetry was greatest in patients having a depressive disorder alone and smallest in patients having an anxiety disorder alone. The opposite nature of the alterations of hemispheric asymmetry and early P3 amplitude in depressive and anxiety disorders underscores the importance of taking comorbidity with anxiety into account in studies of cognitive ERPs in depressive disorders.