Background Stigma towards individuals experiencing a mental illness is associated with a range of negative psychological, social and financial outcomes. Factors associated with stigma remain unclear; the relationship between stigma and various personal factors may depend on both the type of disorder being stigmatised and what type of stigma is assessed. Different forms of stigma include personal stigma (negative attitudes towards others), perceived stigma (perceived attitudes of others) and self-stigma (self-attribution of others' negative attitudes). Method Three hundred and fifty university students and members of the general public completed an online survey assessing contact with and knowledge of both depression and anxiety, age, gender, current depression and anxiety symptoms, and personal, perceived and self-stigma for both depression and anxiety. Results Greater contact with, and knowledge of that illness predicted lower personal stigma for both anxiety and depression. Participants with greater levels of current depression symptomatology and females, reported higher perceived stigma towards depression. Males reported higher personal stigma for anxiety. For both anxiety and depression, higher current symptomatology was associated with greater levels of self-stigma towards the illness. Conclusions Findings confirm the role of contact and knowledge in personal stigma for both disorders, consistent with previous findings. This finding also supports evidence that interventions addressing these factors are associated with a decline in personal stigma. However, lack of relationship between contact with, and knowledge of a mental illness and perceived and self-stigma for either depression or anxiety suggests that these factors may not play a major role in perceived or self-stigma. The identification of symptomatology as a key factor associated with self-stigma for both anxiety and depression is significant, and has implications for community-wide interventions aiming to increase help-seeking behaviour, as well as individual treatment strategies for clinicians. Further research should examine whether these relationships hold for groups with clinically diagnosed depression and anxiety disorders.