Anxiety and depression are common mental health disorders and have a higher prevalence in females. They are modestly heritable, share genetic liability with other psychiatric disorders, and are highly heterogeneous. There is evidence that genetic liability to neurodevelopmental disorders, such as attention deficit hyperactivity disorder (ADHD) is associated with anxiety and depression, particularly in females. We investigated sex differences in family history for neurodevelopmental and psychiatric disorders and neurodevelopmental genetic risk burden (indexed by ADHD polygenic risk scores (PRS) and rare copy number variants; CNVs) in individuals with anxiety and depression, also taking into account age at onset. We used two complementary datasets: 1) participants with a self-reported diagnosis of anxiety or depression (N = 4,178, 65.5% female; mean age = 41.5 years; N = 1,315 with genetic data) from the National Centre for Mental Health (NCMH) cohort and 2) a clinical sample of 13,273 (67.6% female; mean age = 45.2 years) patients with major depressive disorder (MDD) from the Psychiatric Genomics Consortium (PGC). We tested for sex differences in family history of psychiatric problems and presence of rare CNVs (neurodevelopmental and >500kb loci) in NCMH only and for sex differences in ADHD PRS in both datasets. In the NCMH cohort, females were more likely to report family history of neurodevelopmental and psychiatric disorders, but there were no robust sex differences in ADHD PRS or presence of rare CNVs. There was weak evidence of higher ADHD PRS in females compared to males in the PGC MDD sample, particularly in those with an early onset of MDD. These results do not provide strong evidence of sex differences in neurodevelopmental genetic risk burden in adults with anxiety and depression. This indicates that sex may not be a major index of neurodevelopmental genetic heterogeneity, that is captured by ADHD PRS and rare CNV burden, in adults with anxiety and depression.