Background: The Patient Health Questionnaire (PHQ-9) and Generalized Anxiety Disorder scale (GAD-7) are self-report measures of major depressive disorder and generalised anxiety disorder. The primary aim of this study was to test for differential item functioning (DIF) on the PHQ-9 and GAD-7 items based on age, sex (males and females), and country. Method: Data from nationally representative surveys in UK, Ireland, Spain, and Italy (combined N = 6,054) were used to fit confirmatory factor analytic and multiple-indictor multiple-causes models. Results: Spain and Italy had higher latent variable means than the UK and Ireland for both anxiety and depression, but there was no evidence for differential items functioning. Conclusions: The PHQ-9 and GAD-7 scores were found to be unidimensional, reliable, and largely free of DIF in data from four large nationally representative samples of the general population in the UK, Ireland, Italy and Spain.