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Background: Depression and anxiety are common and highly comorbid, and their comorbidity is associated with poorer outcomes posing clinical and public health concerns. We evaluated the polygenic contribution to comorbid depression and anxiety, and to each in isolation. Methods: Diagnostic codes were extracted from electronic health records for four biobanks [ N = 177 865 including 138 632 European (77.9%), 25 612 African (14.4%), and 13 621 Hispanic (7.7%) ancestry participants]. The outcome was a four-level variable representing the depression/anxiety diagnosis group: neither, depression-only, anxiety-only, and comorbid. Multinomial regression was used to test for association of depression and anxiety polygenic risk scores (PRSs) with the outcome while adjusting for principal components of ancestry. Results: In total, 132 960 patients had neither diagnosis (74.8%), 16 092 depression-only (9.0%), 13 098 anxiety-only (7.4%), and 16 584 comorbid (9.3%). In the European meta-analysis across biobanks, both PRSs were higher in each diagnosis group compared to controls. Notably, depression-PRS (OR 1.20 per s.d. increase in PRS; 95% CI 1.18–1.23) and anxiety-PRS (OR 1.07; 95% CI 1.05–1.09) had the largest effect when the comorbid group was compared with controls. Furthermore, the depression-PRS was significantly higher in the comorbid group than the depression-only group (OR 1.09; 95% CI 1.06–1.12) and the anxiety-only group (OR 1.15; 95% CI 1.11–1.19) and was significantly higher in the depression-only group than the anxiety-only group (OR 1.06; 95% CI 1.02–1.09), showing a genetic risk gradient across the conditions and the comorbidity. Conclusions: This study suggests that depression and anxiety have partially independent genetic liabilities and the genetic vulnerabilities to depression and anxiety make distinct contributions to comorbid depression and anxiety. [ABSTRACT FROM AUTHOR]