Objective: Depression has been associated with metabolomic alterations. Depressive and anxiety disorders are often comorbid diagnoses and are suggested to share etiology. We investigated whether differential metabolomic alterations are present between anxiety and depressive disorders and which clinical characteristics of these disorders are related to metabolomic alterations. Methods: Data were from the Netherlands Study of Depression and Anxiety (NESDA), including individuals with current comorbid anxiety and depressive disorders (N = 531), only a current depression (N = 304), only a current anxiety disorder (N = 548), remitted depressive and/or anxiety disorders (N = 897), and healthy controls (N = 634). Forty metabolites from a proton nuclear magnetic resonance lipid-based metabolomics panel were analyzed. First, we examined differences in metabolites between disorder groups and healthy controls. Next, we assessed whether depression or anxiety clinical characteristics (severity and symptom duration) were associated with metabolites. Results: As compared to healthy controls, seven metabolomic alterations were found in the group with only depression, reflecting an inflammatory (glycoprotein acetyls; Cohen's d = 0.12, p = 0.002) and atherogenic-lipoprotein-related (e.g., apolipoprotein B: Cohen's d = 0.08, p = 0.03, and VLDL cholesterol: Cohen's d = 0.08, p = 0.04) profile. The comorbid group showed an attenuated but similar pattern of deviations. No metabolomic alterations were found in the group with only anxiety disorders. The majority of metabolites associated with depression diagnosis were also associated with depression severity; no associations were found with anxiety severity or disease duration. Conclusion: While substantial clinical overlap exists between depressive and anxiety disorders, this study suggests that altered inflammatory and atherogenic-lipoprotein-related metabolomic profiles are uniquely associated with depression rather than anxiety disorders.