There is robust epidemiological and clinical evidence that a greater number of women than men experience depression and anxiety. This study investigated a number of socio-demographic, health and lifestyle, psychological and social factors as possible mediators for the gender difference in depression and anxiety in three cohorts (20-24, 40-44, 60-64). Responses were from a representative, community based survey (n = 7,485) conducted in Canberra and Queanbeyan (NSW), in Australia. Depression and anxiety were measured using the self-report Goldberg Anxiety and Depression Scales. The analyses initially identified gender differences in the potential mediators, followed by univariate and multivariate mediation models. The results indicated several shared mediators for depression and anxiety across the three age groups including: childhood adversity, mastery, behavioural inhibition, ruminative style, neuroticism, physical health, physical activity, and perceived interpersonal and employment problems. There was a decrease in the number of social mediators as age increased. The multivariate models accounted for gender differences in both conditions for all age groups, except for anxiety in the 20-24 years old. This suggests further important unmeasured mediators for this age group. These findings add to the literature surrounding gender differences in depression and anxiety, and provide a basis for future research exploring variation in these gender disparities over the adult lifespan.