Background: Depressive and anxiety disorders have been linked to a dysregulated hypothalamus-pituitary-adrenal (HPA)-axis. Hair cortisol levels (HairF) reflect integrated long-term cortisol regulation and are therefore promising endocrine markers of chronic (psychological and physical) stress. Our aim was to assess hair cortisol levels in persons with a depressive and/or anxiety disorder and to compare their levels with that of persons in remission and healthy controls. Methods: Data from 1166 participants of the Netherlands Study of Depression and Anxiety (NESDA) were used, including 266 participants with a recent (1-month) diagnosis of a depressive and/or anxiety disorder, 655 participants with a diagnosis in remission, and 245 healthy controls. HairF was measured in the proximal three cm of scalp hair, using LC–MS/MS. Results: Compared to the healthy controls no differences on HairF or HairE levels were found for depressive and anxiety disorders alone. However the presence of a comorbid depressive and anxiety disorder was significantly associated with increased HairF levels (β = 0.07; p =.031), as was the severity of depressive symptoms (β = 0.06; p =.029), but no differences were found on HairE nor the HairF:HairE ratio. Conclusions: Persons with current diagnosis of comorbid depression and anxiety show moderately higher levels of cortisol than patients with only depression or anxiety, or patients in remission and healthy controls, which may be indicative of a chronic state of hyperactivation of the HPA axis.