The Netherlands Study of Depression and Anxiety (NESDA) is a multi-site naturalistic cohort study to: (1) describe the long-term course and consequences of depressive and anxiety disorders, and (2) to integrate biological and psychosocial research paradigms within an epidemiological approach in order to examine (interaction between) predictors of the long-term course and consequences. Its design is an eight-year longitudinal cohort study among 2981 participants aged 18 through 65 years. The sample consists of 1701 persons with a current (six-month recency) diagnosis of depression and/or anxiety disorder, 907 persons with life-time diagnoses or at risk because of a family history or subthreshold depressive or anxiety symptoms, and 373 healthy controls. Recruitment took place in the general population, in general practices (through a three-stage screening procedure), and in mental health organizations in order to recruit persons reflecting various settings and developmental stages of psychopathology. During a four-hour baseline assessment including written questionnaires, interviews, a medical examination, a cognitive computer task and collection of blood and saliva samples, extensive information was gathered about key (mental) health outcomes and demographic, psychosocial, clinical, biological and genetic determinants. Detailed assessments will be repeated after one, two, four and eight years of follow-up. The findings of NESDA are expected to provide more detailed insight into (predictors of) the long-term course of depressive and anxiety disorders in adults. Besides its scientific relevance, this may contribute to more effective prevention and treatment of depressive and anxiety disorders.