Research diagnostic interviews need to discriminate between closely related disorders in order to allow comorbidity among mental disorders to be studied reliably. Yet conventional studies of diagnostic validity generally focus on single disorders and do not examine discriminant validity. The current study examines the validity of fully-structured diagnoses of closely-related distress disorders (generalized anxiety disorder, post-traumatic stress disorder, major depressive episode, and dysthymic disorder) in the lay-administered Composite International Diagnostic Interview Version 3.0 (CIDI) with independent clinical diagnoses based on the Schedule for Affective Disorders and Schizophrenia for School-Age Children (K-SADS) in the US National Comorbidity Survey Replication Adolescent Supplement (NCS-A). The NCS-A is a national survey of the Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition (DSM-IV) among 10,148 adolescents. A probability sub-sample of 347 of these adolescents and their parents were administered blinded follow-up K-SADS interviews. Good concordance [area under the receiver operating characteristic curve (AUC)] was found between diagnoses based on the CIDI and the K-SADS for generalized anxiety disorder (AUC = 0.78), post-traumatic stress disorder (AUC = 0.79), and major depressive episode/dysthymic disorder (AUC = 0.86). Further, the CIDI was able to effectively discriminate among different types of distress disorders in the sub-sample of respondents with any distress disorder.