The objective of this study was to examine whether anxiety increases impulsivity among patients with bipolar disorder (BPD) and major depressive disorder (MDD). Subjects comprised 205 BPD (mean age ± SD 36.6 ± 11.5 y; 29.3% males) and 105 with MDD (mean age ± SD 38 ± 13.1 y; 29.5% males) diagnosed using the DSM-IV-SCID. Impulsivity was assessed with the Barratt Impulsivity Scale and anxiety with the Hamilton Anxiety Rating Scale. Comorbid anxiety disorders were present in 58.9% of the BPD and 29.1% of MDD. BPD were significantly more impulsive than MDD (p < 0.001), and both BPD and MDD subjects showed significantly higher impulsivity when anxiety was present either as a comorbidity (p = 0.010) or as a symptom (p = 0.011). Impulsivity rose more rapidly with increasing anxiety symptoms in MDD than in BPD. The presence of anxiety, either as a comorbid disorder or as current anxiety symptoms, is associated with higher impulsivity in subjects with either BPD or MDD.