Background: An argument often used to support the view that psychotic experiences (PEs) in general population samples are a valid phenotype for studying the aetiology of schizophrenia is that risk factors for schizophrenia show similar patterns of association with PEs. However, PEs often co-occur with depression, and no study has explicitly tested whether risk factors for schizophrenia are shared between PEs and depression, or are psychopathology specific, while jointly modelling both outcomes. Method: We used data from 7030 subjects from a birth cohort study. Depression and PEs at age 18 years were assessed using self-report questionnaires and semi-structured interviews. We compared the extent to which risk factors for schizophrenia across sociodemographic, familial, neurodevelopmental, stress-adversity, emotional-behavioural and substance use domains showed different associations with PEs and depression within bivariate models that allowed for their correlation. Results: Most of the exposures examined were associated, to a similar degree, with an increased risk of both outcomes. However, whereas female sex and family history of depression showed some discrimination as potential risk factors for depression and PEs, with stronger associations in the former, markers of abnormal neurodevelopment showed stronger associations with PEs. Conclusions: The argument that PEs are valid markers for studying the aetiology of schizophrenia, made simply on the basis that they share risk factors in common, is not well supported. PEs seem to be a weak index of genetic and environmental risk for schizophrenia; however, studies disentangling aetiological pathways to PEs from those impacting upon co-morbid psychopathology might provide important insights into the aetiology of psychotic disorders.