Two thousand five hundred seventy pairs of Norwegian MZ and like-sexed and unlike-sexed DZ twins aged 18–25 years completed questionnaires with information about symptoms of anxiety and depression and alcohol consumption. The aim of the study was to estimate sex-specific genetic and environmental effects unique to symptoms of anxiety/depression and to alcohol consumption and effects common to the two phenotypes. Five models fitted the data almost equally well. The heritability estimate from these models ranged from .23 to .57 for male alcohol consumption, from .39 to .59 for female alcohol consumption, from .25 to .48 for male anxiety/depression, and from .45 to .56 for female anxiety/depression. The phenotypic correlation between alcohol and anxiety/depression in males (r = .23) could be fully explained by common genetic effects. The correlation in females (r = .18) was caused by individual environmental factors together with either genetic effects or family environment.