Associations between affective disorders, anxiety disorders, and substance use disorders were examined in epidemiological studies conducted in Germany, Switzerland, Puerto Rico, and the mainland US. There was a remarkable degree of similarity across studies in the magnitude and type of specific disorders associated with the affective disorders. Comorbidity with affective disorders was greater for the anxiety disorders than for substance misuse. Panic disorder was the subtype of anxiety that was most highly comorbid with depression. Social phobia was the specific phobic type with the strongest association with the affective disorders. The magnitude of associations between substance misuse and affective disorders generally was quite low and less consistent across sites. No major differences were found in the patterns of comorbidity by gender or age group, affective subtype or prevalence period. The onset of anxiety disorders generally preceded that of depression, whereas alcohol misuse was equally likely to pre- or post-date the onset of affective disorders. Finally, comorbidity was associated with an elevation in treatment ratesacross all sites, confirming Berkson's paradox on an international level.