Bivariate twin analysis can determine the extent to which two disorders share common genetic, familial environmental, or individual-specific environmental risk factors. We applied this method to lifetime diagnoses of major depression and generalized anxiety disorder as assessed at personal interview in a population-based sample of 1033 pairs of female same-sex twins. Three definitions of generalized anxiety disorder were used that varied in minimum duration (1 vs 6 months) and in the presence or absence of a diagnostic hierarchy. For all definitions of generalized anxiety disorder, the best-fitting twin model was the same. Familial environment played no role in the etiology of either condition. Genetic factors were important for both major depression and generalized anxiety disorder and were completely shared between the two disorders. A modest proportion of the nonfamilial environmental risk factors were shared between major depression and generalized anxiety disorder. Within the limits of our statistical power, our findings suggest that in women, the liability to major depression and generalized anxiety disorder is influenced by the same genetic factors, so that whether a vulnerable woman develops major depression or generalized anxiety disorder is a result of her environmental experiences.