The frequent comorbidity of anxiety disorders and mood disorders has been documented in previous studies. However, it remains unclear whether specific anxiety traits or disorders are more closely associated with unipolar major depression (MDD) or bipolar disorder (BPD). We sought to examine whether MDD and BPD can be distinguished by their association with specific types of anxiety comorbidity. Individuals with a primary lifetime diagnosis of either bipolar disorder (N=122) or major depressive disorder (N=114) received diagnostic assessments of anxiety disorder comorbidity, and completed questionnaires assessing anxiety sensitivity and neuroticism. The differential association of these anxiety phenotypes with MDD versus BPD was examined with multivariate modeling. Panic disorder and generalized anxiety disorder (GAD) specifically emerged amongst all the anxiety disorders as significantly more common in patients with BPD than MDD. After controlling for current mood state, anxiety sensitivity and neuroticism did not differ by mood disorder type. This study supports prior research suggesting a specific panic disorder-bipolar disorder connection, and suggests GAD may also be differentially associated with BPD. Further research is needed to clarify the etiologic basis of anxiety disorder/BPD comorbidity and to optimize treatment strategies for patients with these co-occurring disorders.