Background: Cardiovascular diseases (CVD) and affective disorders are both very prevalent in the general population. However, it is unclear on a population level if the prevalence of different subtypes of affective disorders like unipolar major depression or dysthymia is different in individuals with specific CVDs. Methods: In 4,181 participants of the general population, lifetime prevalences for affective disorders were assessed through the Composite International Diagnostic Interview and cardiovascular diseases by self-report and subsequent physician-verified diagnosis. Multivariable logistic regression was used in the analysis. Results: Prevalences of unipolar depression, bipolar disorder and dysthymia were significantly higher in participants with coronary heart disease or stroke compared to those without these CVDs. Dysthymia had a stronger (OR = 2.03; 95% CI = 1.21–3.39) association with coronary heart disease than unipolar depression (OR = 1.58; 95% CI = 1.09–2.30) or any depression (OR = 1.92; 95% CI = 1.37–2.70). In contrast, unipolar depression (OR = 2.27; 95% CI = 1.29–3.99) showed a significant OR for the relation with stroke compared to dysthymia that reached no statistical significance. The commonly used category ‘any depression’ revealed higher odds (OR = 2.50; 95% CI = 1.46–4.28) for the relationship with stroke than unipolar depression or dysthymia, but lower odds than bipolar I disorder (OR = 5.71, 95% CI = 1.23–26.66). Conclusions: Classification into diagnostic subgroups of affective disorders is important for an improved clinical and pathophysiological understanding of their relationship with CVDs. Dysthymia, in particular, plays an important role regarding the relation of affective disorders and CVDs. Future research on biological models may elucidate the pathophysiological link between subtypes of affective disorders and CVDs.