The strong negative correlations observed between the sense of coherence (SOC) scale and measures of depression and anxiety raise the question of whether the SOC scale inversely measures the other constructs. The main aim of the present study was to examine the discriminant validity of the three measures by comparing their associations with health indicators and behaviours. The participants were 25 to 74-year-old Finnish men (n=2351) and women (n=2291) from the National Cardiovascular Risk Factor Survey conducted in 1997. The SOC scale had high inverse correlations with both depression (r=-0.62 among both men and women) and anxiety measures (r=-0.57 among the men and r=-0.54 among the women). Although confirmatory factor analyses suggested that it was possible to differentiate between SOC, cognitive depressive symptoms and anxiety, the estimated correlations were even higher than those mentioned above. Education was related only to SOC, but the associations of SOC, cognitive depressive symptoms and anxiety with self-reported and clinically measured health indicators (body mass index, blood pressure, cholesterol) and health behaviours were almost identical. The variation in the lowest SOC tertile was more strongly associated with health variables than in the highest tertile. To conclude, the size of the overlap between the SOC and depression scales was the same as between depression and anxiety measures. This indicates that future studies should examine the discriminant validity of different psychosocial scales more closely, and should compare them in health research in order to bring parallel concepts into the same scientific discussion.