Background. Many studies have demonstrated co-morbidity of alcohol abuse/dependence with mood and anxiety disorders but relatively little is known about anxiety and depression across the full continua of alcohol consumption and problems associated with drinking.Methods. Participants from a general population sample (N = 2725) aged 18–80 years completed the Alcohol Use Disorders Identification Test (AUDIT) and four measures of negative affect (two depression and two anxiety symptom scales) included in a self-completion questionnaire.Results. High consumption, AUDIT total score, and AUDIT problems score were associated with high negative affect scores in participants under 60 years old (ORs in the range 1·80–2·83). Graphical and statistical analyses using continuous measures of alcohol use/problems and negative affect identified non-linear relationships where abstainers and occasional drinkers, as well as heavy and problem drinkers, were at risk of high anxiety and depression levels. This pattern, however, was not found in those aged [ges ] 60 years. The U-shaped relationship was not an artefact of abstainers being typical of the general population in their distribution of negative affect.Conclusions. Studies of co-morbidity should acknowledge the possibility of non-linear associations and employ both continuous and discrete measures. Abstainers, as well as heavy drinkers, are at increased risk of symptoms of depression and anxiety disorders. Psychosocial factors may play a role in the U-shaped relationship between alcohol consumption and mortality.