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Background: The literature reports a significant association between various mental disorders and asthma, in particular depression and/or anxiety, with some more robust data regarding anxiety disorders. However, the nature of this association remains largely unclear. Objectives: (1) To test the hypothesis of a specific association of anxiety and depressive disorder (according to the DSM-IV) with asthma and (2) to test the bidirectional hypothesis of causality between asthma and psychiatric disorders. Methods: Ninety-six adults were compared with 96 control subjects matched according to main sociodemographic variables (i.e., gender, age, marital status, cohabiting/non-cohabiting, and BMI). Subjects with asthma were divided according to GINA and ACT classifications. All subjects underwent Structured Clinical Interviews for DSM-IV Axis I (SCID-I) diagnosis. Results: Significant association between asthma and lifetime anxiety disorders emerged (OR 3.03; p = 0.003); no significant association with other psychiatric diagnosis emerged. Moreover, lifetime and current anxiety were associated with asthma severity levels (p < 0.01 and p = 0.001 based on age). Asthma preceded anxiety in 48% of cases; in 52% of cases, anxiety preceded asthma, without significant group differences. The risk of asthma, particularly of severe, uncontrolled forms (p < 0.01), resulted higher in lifetime anxiety disorder patients (p = 0.003 and p = 0.001 based on age at onset). Current anxiety increased the risk of asthma, and that of an uncontrolled form (p < 0.05). Asthma increased the risk of lifetime anxiety disorders (p = 0.002 and p = 0.018 using ages). Intermittent asthma increased the risk of lifetime and current anxiety disorders (p < 0.01).