To investigate (a) the incremental predictive validity of experiential avoidance over and above bordering psychological constructs (i.e., rumination, worry, neuroticism and anxiety sensitivity) in predicting onset, relapse and maintenance of anxiety disorders; and (b) whether these related constructs can be represented by a single, higher-order latent factor with similar predictive power as the separate psychological constructs while offering a more parsimonious predictive model. Longitudinal cohort study with repeated assessments after 4 years in a sample of 2157 adults aged 18–65, consisting of 1614 persons with past or current anxiety disorder (Panic Disorder with or without Agoraphobia, Social Anxiety Disorder, Generalized Anxiety Disorder, Agoraphobia without panic) according to the Composite Interview Diagnostic Instrument (CIDI) and 543 controls. Experiential avoidance (Acceptance and Action Questionnaire-I) manifested substantial overlap with bordering cognitive constructs. Experiential avoidance and anxiety sensitivity both uniquely predicted maintenance of anxiety disorders and neuroticism uniquely predicted relapse of anxiety disorders, over and above the effect of the other cognitive constructs. Moreover, a latent factor of psychological vulnerability loaded strongly on each of these psychological constructs. This latent factor predicted onset, maintenance and relapse of anxiety disorders. The tendency to frequently experience strong negative emotions, to evaluate these experiences as aversive and to engage in avoidant coping strategies may constitute a transdiagnostic factor predictive of anxiety disorders. Further developing and testing of interventions targeting transdiagnostic construct underlying anxiety and mood disorders seem warranted.