Children with attention deficit hyperactivity disorder (ADHD) often experience co-occurring emotional problems. ADHD with this comorbidity is associated with poorer outcomes than ADHD without comorbidity. Better understanding of the etiology of comorbidity could improve prevention of negative outcomes for children with ADHD. The sample consisted of 567 twin pairs, 3,632 sibling pairs, and 2,340 cousin pairs from the Norwegian Mother, Father and Child Cohort Study. Mothers rated offspring symptoms of ADHD, anxiety, and depression at 8 years of age. Biometric modeling was performed to examine genetic and environmental contributions to co-occurring symptoms of ADHD and emotional problems in the children. We fitted four variable (inattention, hyperactivity/impulsivity, anxiety, and depression) covariance matrices of additive genetic, common environmental, twin- and individual-specific environmental effects. Genetic, shared environmental, and individual-specific environmental factors contributed to the correlation between ADHD and depression. The pattern was similar for both inattention and hyperactivity/impulsivity. Familial risk factors (genetic and shared environment), but not individual-specific environmental factors contributed to the positive correlations between each of the two ADHD subdomains and anxiety. The genetic contributions to ADHD-depression comorbidity only partly overlapped with genetic contributions to ADHD-anxiety comorbidity. Our findings indicate that shared risk factors for ADHD and comorbid depression were familial as well as individual-specific, while shared risk factors for ADHD and comorbid anxiety were primarily familial.