High comorbidity of anxiety and depression poses challenges to research and treatment in clinical settings. The current study was set out to investigate whether respondents can be separated into discrete depressive and anxious subgroups or reveal a continuous distribution throughout the population based on the symptoms of depression and anxiety. In addition, we also explored the role of rumination, automatic thoughts, dysfunctional attitudes, and thought suppression as transdiagnostic factors. Psychometric instruments including Beck Depression Inventory (BDI), Beck Anxiety Inventory (BAI), Automatic Thoughts Questionnaire (ATQ), Dysfunctional Attitudes Scale-Revised (DAS-R), Ruminative Response Scale -Short Form (RRS-SF), and White Bear Suppression Inventory (WBSI) were completed by 310 undergraduates. Item responses to the BDI and BAI were subjected to latent class analysis (LCA). The LCA showed that three homogenous subgroups exist: normal, subclinical, and psychopathology latent classes. Findings supported the dimensional model rather than the categorical distinction between anxiety and depression. Strong covariances between anxious and depressive symptoms across latent subgroups were observed. Having controlled for age and gender, automatic thoughts, dysfunctional thinking, rumination, and thought suppression were all found significant transdiagnostic factors. Anxiety and depression, as frequently co-occurring clinical conditions, can be best understood in a continuum rather than taxonomic classifications. Individuals more prone to use maladaptive cognitive emotional regulation strategies seem to be at greater risk of psychopathology.