This study aimed to enhance knowledge of the construct validity and diagnostic efficiency of the depression- and anxiety-related scales of the MCMI-III (Millon, 1994). The MCMI-III, various concurrent depression and anxiety measures, and an Axis I structured diagnostic interview were administered in a total sample of 696 outpatients with depressive disorders, anxiety disorders, or both. Sound construct validity was found for the Dysthymia and Major Depression clinical syndrome scales and the Avoidant and Depressive personality disorder scales. The validity of the Anxiety scale was poor, showing moderate convergence with panic and worry-related anxiety measures, but problems discriminating from depression. Operating characteristics for discriminating depressed patients from anxious patients were fair for the Major Depression scale, but poor for the Anxiety and Dysthymia scales.