Background. There is continuing controversy about how age affects depression and anxiety, with a lack of consistent results across studies. Two reasons for this inconsistency are age bias in measures and different patterns of exposure to risk factors across age groups in various studies.Method. Data on anxiety and depression symptoms were collected in a community survey of 7485 persons aged 20–24, 40–44 or 60–64 years. These measures were investigated for factorial invariance across age groups. Data were also collected on a wide range of potential risk factors, including social, physical health and personal factors, with the aim of determining whether these factors might partly or wholly account for age group differences.Results. The invariance of correlated latent factors representing anxiety and depression was examined across age groups, and a generalized measure of psychological distress was computed. Depression, anxiety and psychological distress showed a decline across age groups for females and a decline from 40–44 to 60–64 years for males. Some of these age differences were accounted for by other risk factors, with the most important being recent crises at work and negative social relationships with family and friends.Conclusion. Psychological distress generally declined across the age range 20–64 years and this was not attributable to measurement bias. Differential exposure to risk factors explained some, but not all, of the age group difference. Therefore other mechanisms that explain the lower level of distress in older age groups remain to be identified.