Background The prevalence of depression and anxiety symptoms and their comorbidity varies between males and females for reasons still unknown. This study aims to test whether differences between males and females in self-reported symptoms and their covariation are caused by variations in the magnitude of genetic and environmental factors. Methods 750 monozygotic and dizygotic healthy twin pairs (18-60 years; M=39.77 years) participated in the TWIN-E project. Univariate and multivariate genetic modelling was undertaken using the Depression Anxiety Stress Scale (DASS-42). Results Additive genetics and unique environment contributed to self-reported depression (heritability, h2: 34%), anxiety (h2: 30%) and stress (h2: 34%) scores in univariate models, and to the common latent factor (h2: 39%) in the multivariate model. No sex differences in magnitude of estimates for DASS-42 scores were found in the univariate model. However when considering correlated depression and anxiety symptomatology only shared genetic factors between depression and anxiety contributed to depression scores in males, but both specific and shared genetic factors contributed to depression scores in females. Limitations The results are limited to the sample of healthy, community, adult, same sex twin pairs who participated in the study. Conclusions Differences in males and females in genetic aetiology of self-reported dimensions of depression are only apparent when taking into consideration the covariation with self-reported anxiety. This difference is highlighted by the finding that both common and specific genetic factors contribute to self-reported depression in females but not males. This novel finding may help explain the increased incidence of depression symptoms in females.