It has been well established that early adversity is a major risk factor for depression and for anxiety disorders in various populations and age groups. Few studies have considered the relative strength of these associations and the possible role of co-morbid depression/anxiety in understanding them. Using data from a large community sample of Ontario, Canada, we examined the relative strength of the associations between early physical abuse, sexual abuse, and/or parental strain with depression alone, anxiety alone, and co-morbid depression/anxiety. The current sample consisted of 6,597 individuals 15–64 years of age who were interviewed using the World Health Organization Composite International Diagnostic Interview (CIDI). Using a multivariate design, we compared early adversity scores across four diagnostic study groups including normal controls, individuals with major depression but no anxiety disorders, individuals with one or more anxiety disorders without major depression, and individuals with co-morbid major depression and anxiety. Individuals with past disorders were considered separately from those with current disorders. For both past and current disorders, highly significant differences in early adversity scores were found across the four study groups. A novel and robust finding, consistent across all analyses, was a marked association between early sexual abuse and co-morbid depression and anxiety but not the “pure” disorders. A strong association between early parental strain and major depression (independent of anxiety) was also found. The overall pattern of results suggest that there may be unique relationships linking particular adversities to particular manifestations of depression and anxiety disorders later in life. A particularly strong association between early sexual abuse and co-morbid depression/anxiety was found. Depression and Anxiety 17:34–42, 2003. © 2003 Wiley-Liss, Inc.