Background and Objectives: Affective disorders, namely bipolar (BDs) and depressive disorders (DDs) are characterized by high prevalence and functional impairment. From a dimensional point of view, BDs and DDs can be considered as psychopathological entities lying on a continuum. A delay in treatment initiation might increase the burden associated with affective disorders. The aim of this study is to analyze the correlates of a long duration of untreated illness (DUI) in these conditions. Materials and Methods: Subjects with BDs and DDs, both in- and outpatients, were recruited. Long DUI was defined according to previous research criteria as >2 years for BDs or >1 year for DDs. Socio-demographic, clinical and psychopathological characteristics of the recruited subjects were collected. Bivariate analyses were performed to compare subjects with a long and short DUI (p < 0.05). Results: In our sample (n = 61), 34.4% of subjects presented a long DUI. A long DUI was significantly associated with longer overall illness duration (p = 0.022) and a higher rate of psychiatric (p = 0.048) and physical comorbidities (p = 0.023). As for psychopathological features, depressive symptoms were more severe in the long DUI subgroup, as demonstrated by a higher score at the Clinical Global Impression-severity of depression (p = 0.012) item and at the anxiety/depression factor of the Positive and Negative Syndrome Scale (p = 0.041). Furthermore, subjects with a long DUI displayed more severe disruption of circadian rhythms, as evaluated by the Biological Rhythms Interview for Assessment in Neuropsychiatry total (p = 0.044) and social domain (p = 0.005) scores and by the Hamilton Depression Rating Scale diurnal variation items (18a: p = 0.029, 18b: p = 0.047). Conclusions: A long DUI may underpin higher clinical severity, as well as worse illness course and unfavorable prognosis in affective disorders. Intervention strategies targeting comorbidities, depressive symptoms and circadian rhythms may decrease disease burden in subjects with a long DUI.