We evaluated 20 patients with Cushing's disease (i.e., Cushing's syndrome due to ACTH-secreting pituitary microadenoma) and 20 patients with Major Depressive Disorder (MDD) using the Structured Clinical Interview for DSM-III-R (SCID) and Research Diagnostic Criteria. The diagnosis of Generalized Anxiety Disorder (GAD) was most common in Cushing's disease (79%), followed by MDD (68%), and Panic Disorder (PD) including subthreshold PD (53%). The combination of MDD and GAD and/or PD was also common in Cushing's disease (63%). Behavioral symptoms, if present, usually first occurred at or after the onset of the first physical symptoms. However, the onset of PD was associated with more chronic stages of Cushing's disease. In both Cushing's disease and MDD, more female than male relatives suffered from MDD, whereas more male than female relatives suffered from substance abuse. The data demonstrate a syndrome of anxious depression in patients with active Cushing's disease; such comorbidility has not been previously noted. The data also point to intriguing epidemiological, clinical, and biological associations between Cushing's disease, MDD and substance abuse.