Background: Reported rates of comorbid anxiety disorders in psychotic and mood disorders vary widely among studies. Sampling and Methods: We used the Structured Clinical Interview for the Diagnostic and Statistical Manual of Mental Disorders, fourth edition, to examine rates of comorbid anxiety disorders in patients with schizoaffective disorder (SZA; n = 153), bipolar I disorder (BP; n = 304) and schizophrenia (SZ; n = 174). Results: The rates of anxiety disorders in participants with SZA (30.1%), BP (22.4%) and SZ (16.7%) differed significantly [χ2(2) = 8.368, p = 0.015]. Among anxiety disorders, this effect was most pronounced for panic disorder (PD). PD rates were significantly higher in participants with SZA (15.7%) as compared to participants with BP (6.9%) and SZ [6.9%; χ2(2) = 10.879, p = 0.004]. Logistic regression models controlling for demographic and clinical characteristics confirmed that primary diagnosis (SZA, BP or SZ) was a significant predictor of PD comorbidity and approached significance in predicting the comorbidity of any anxiety disorder. Conclusions: Our findings suggest that patients with SZA have high rates of anxiety disorders. Clinicians treating patients with SZA should evaluate for anxiety disorder comorbidity, especially as anxiety symptoms may not be reported at first presentation.