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The Patient Health Questionnaire-9 (PHQ-9) is commonly used to screen for depressive disorder and for monitoring depressive symptoms. However, there are mixed findings regarding its factor structure (i.e., whether it has a unidimensional, two-dimensional, or bi-factor structure). Furthermore, its measurement invariance between non-clinical and clinical populations and that between patients with major depressive disorder (MDD) and MDD with comorbid anxiety disorder (AD) is unknown. Japanese adults with MDD (n = 406), MDD with AD (n = 636), and no psychiatric disorders (non-clinical population; n = 1,163) answered this questionnaire on the Internet. Confirmatory factor analyses showed that the bi-factor model had a better fit than the unidimensional and two-dimensional factor models did. The results of a multi-group confirmatory factor analysis indicated scalar invariance between the non-clinical and only MDD groups, and that between the only MDD and MDD with AD groups. In conclusion, the bi-factor model with two specific factors was supported among the non-clinical, only MDD, and MDD with AD groups. The scalar measurement invariance model was supported between the groups, which indicated the total or sub-scale scores were comparable between groups.