Aims. To identify risk factors for depression and anxiety that are more prevalent in abstainers than in moderate drinkers and to estimate their contribution to U-shaped relationships of depression and anxiety with alcohol consumption. Design. Cross-sectional general population sample. Setting. Canberra, Australia. Participants. 2725 subjects completed questionnaires, including 1128 men and 1258 women aged 18-59 years. Measurements. Consumption categories from AUDIT quantity/frequency items: (1) non-drinkers (no alcohol in the past year), (2) occasional drinkers (monthly or less), (3) lower-level drinkers (up to 14 standard drinks per week for men and seven for women), (4) higher-level drinkers (up to 28 and 14 standard drinks per week, respectively), and (5) those drinking at hazardous or harmful levels (over 28 and 14 standard drinks per week, respectively). Goldberg and DSSI/sAD depression and anxiety scales. A range of demographic, socio-economic, socio-environmental and personality factors. Findings. Non-drinkers were more likely than lower-level drinkers to have low status occupations, poor education, current financial hardship, poor social support and recent stressful life events, and scored lower on extraversion, fun-seeking and drive. Many of these characteristics also applied to hazardous/harmful drinkers. In multivariate models, these risk factors accounted for a substantial part of the higher depression and anxiety scores of non-drinkers and occasional drinkers relative to lower-level drinkers. Conclusions. Abstainers have a range of characteristics known to be associated with anxiety, depression and other facets of ill health, and these factors may contribute significantly to their elevated levels of depression and anxiety.