The aim of this study was to investigate familial influences and their dependence on sex for panic disorder and/or agoraphobia, social phobia, generalized anxiety disorder and major depression. Data from Australian (N = 2287) and Dutch (N = 1185) twins and siblings who were selected for a linkage study and participated in clinical interviews to obtain lifetime Diagnostic and Statistical Manual of Mental Disorders (4th ed.; DSM-IV) diagnoses were used. In a liability model, tetrachoric correlations were estimated in sibling pairs and sex differences between sibling correlations were tested. For each diagnosis, the sibling correlations could be constrained to be equal across the Australian and Dutch samples. With the exception of panic disorder and/or agoraphobia, all sibling correlations were the same for brother, sister and opposite-sex sibling pairs and were around .20. For panic disorder and/or agoraphobia, the correlation was .23 in brother and sister pairs, but absent in opposite-sex sibling pairs. From these results it can be concluded that upper heritability estimates, based on twice the correlations in the sibling pairs, vary between 36% (major depression) and 50% (social phobia). Furthermore, different genetic risk factors appear to contribute to the vulnerability for panic disorder and/or agoraphobia in men and women. No other sex differences were found.