Although generalized anxiety disorder (GAD) and major depressive episode (MDE) are known to be highly co-morbid, little prospective research has examined whether these two disorders predict the subsequent first onset or persistence of the other or the extent to which other predictors explain the time-lagged associations between GAD and MDE. Data were analyzed from the nationally representative two-wave panel sample of 5001 respondents who participated in the 1990-1992 National Comorbidity Survey (NCS) and the 2001-2003 NCS follow-up survey. Both surveys assessed GAD and MDE. The baseline NCS also assessed three sets of risk factors that are considered here: childhood adversities, parental history of mental-substance disorders, and respondent personality. Baseline MDE significantly predicted subsequent GAD onset but not persistence. Baseline GAD significantly predicted subsequent MDE onset and persistence. The associations of each disorder with the subsequent onset of the other attenuated with time since onset of the temporally primary disorder, but remained significant for over a decade after this onset. The risk factors predicted onset more than persistence. Meaningful variation was found in the strength and consistency of associations between risk factors and the two disorders. Controls for risk factors did not substantially reduce the net cross-lagged associations of the disorders with each other. The existence of differences in risk factors for GAD and MDE argues against the view that the two disorders are merely different manifestations of a single underlying internalizing syndrome or that GAD is merely a prodrome, residual, or severity marker of MDE.