High scores on markers of psychological vulnerability have been associated with a worse course of affective disorders. However, little is known about the specificity of those associations in predicting the course of different depressive and anxiety disorders. We examined the impact of psychological vulnerability on the short- and long-term course of depressive and anxiety disorders. Participants from the Netherlands Study of Depression and Anxiety with a current diagnosis of depression or anxiety (n = 1256) were reassessed after 2 and 6 years. Diagnostic status and chronic duration (>85% of the time) of symptoms were the outcomes. Predictors were neuroticism, extraversion, locus of control, cognitive reactivity (rumination and hopelessness reactivity), worry and anxiety sensitivity. High neuroticism, low extraversion and external locus of control predicted chronicity of various affective disorders. Rumination, however, predicted chronicity of depressive but not anxiety disorders. Worry specifically predicted chronicity of GAD and anxiety sensitivity predicted chronicity of panic disorder and social anxiety disorder. These patterns were present both at short-term and at long-term, without losing predictive accuracy. Psychological vulnerabilities that are theoretically specific to certain disorders indeed selectively predict the course of these disorders. General markers of vulnerability predicted the course of multiple affective disorders. This pattern of results supports the notion of specific as well as transdiagnostic predictors of the course of affective disorders and is consistent with hierarchical models of psychopathology.