Recent GWASs have demonstrated that comorbid disorders share genetic liabilities. But whether and how these shared liabilities can be used for the classification and differentiation of comorbid disorders remains unclear. In this study, we use polygenic risk scores (PRSs) estimated from 42 comorbid traits and the deep neural networks (DNN) architecture to classify and differentiate schizophrenia (SCZ), bipolar disorder (BIP) and major depressive disorder (MDD). Multiple PRSs were obtained for individuals from the schizophrenia (SCZ) (cases = 6,317, controls = 7,240), bipolar disorder (BIP) (cases = 2,634, controls 4,425) and major depressive disorder (MDD) (cases = 1,704, controls = 3,357) datasets, and classification models were constructed with and without the inclusion of PRSs of the target (SCZ, BIP or MDD). Models with the inclusion of target PRSs performed well as expected. Surprisingly, we found that SCZ could be classified with only the PRSs from 35 comorbid traits (not including the target SCZ and directly related traits) (accuracy 0.760 ± 0.007, AUC 0.843 ± 0.005). Similar results were obtained for BIP (33 traits, accuracy 0.768 ± 0.007, AUC 0.848 ± 0.009), and MDD (36 traits, accuracy 0.794 ± 0.010, AUC 0.869 ± 0.004). Furthermore, these PRSs from comorbid traits alone could effectively differentiate unaffected controls, SCZ, BIP, and MDD patients (average categorical accuracy 0.861 ± 0.003, average AUC 0.961 ± 0.041). These results suggest that the shared liabilities from comorbid traits alone may be sufficient to classify SCZ, BIP and MDD. More importantly, these results imply that a data-driven and objective diagnosis and differentiation of SCZ, BIP and MDD may be feasible.