Comorbidity among anxiety and depressive disorders is the rule rather than the exception. The Integrative Hierarchical Model proposes that each of these disorders contains general (common to all), specific (common to some) and unique components. However, research into this model is limited and hampered by small (clinical) sample sizes. The aim of the present study is to investigate the incremental validity of the cognitive constructs Anxiety Sensitivity, Pathological Worry and Cognitive Reactivity to sad mood over and above the personality traits neuroticism and extraversion. Symptomatic (N = 1,111) and remitted (N = 834) patients were selected from the 2,981 participants of the Netherlands Study of Depression and Anxiety (NESDA). Results revealed both specific and unique cognitive components of anxiety and depression. Across symptomatic and remitted groups, Anxiety Sensitivity was specific to social anxiety disorder and panic disorder, Aggression Reactivity was a unique component of dysthymia, and Rumination on Sadness was unique to major depressive disorder. We conclude that cognitive constructs have additional value in understanding anxiety and depressive disorders. Moreover, they prove to be more than mere epiphenomena of current disorders.