A representative general population sample (n = 7,076) was used to study retrospectively and prospectively the nature of the relationship between co-morbid alcohol dependence and anxiety disorders. Four different models were tested: (1) anxiety disorders increase the risk of alcohol dependence; (2) alcohol dependence increases the risk of anxiety disorders; (3) family history or childhood traumatisation increase the risk of both alcohol dependence and anxiety disorders, and (4) comorbid conditions are a separate psychopathological entity. The data show that alcohol dependence does not precede the onset of anxiety disorders, that anxiety disorders do precede the onset of alcohol dependence, that family history is not very likely to be the third factor explaining the elevated comorbidity, and that in women childhood trauma might be partially responsible for the association between both disorders. The data are inconsistent with regard to comorbidity as a distinct psychopathological entity. These findings are of great importance for treatment planning in patients with alcohol dependence and comorbid anxiety disorders.