Preliminary research has suggested that sexual problems should be included in the internalizing spectrum alongside depressive and anxiety disorders. This study aimed to empirically examine and compare an extended internalizing spectrum model with a categorical framework model implied by the current nosological structure. Responses to an online survey from a community sample (n = 518) were analyzed to compare the fit of six alternative models of the relationship between sexual problems and depressive and anxiety disorders, separately for men and women. The best model for women (n = 336) was a dimensional spectrum model that included sexual arousal, orgasm, and pain difficulties in the internalizing spectrum. The results for men (n = 182) were less clear-cut: there were apparent categorical relationships for a small group (n = 8), and the spectrum model showed a good fit for 96% of the sample. These findings are consistent with a nosology that maintains discrete disorders and diagnostic chapters while recognizing the relationships between them, as in the new structure of the fifth edition of the Diagnostic and Statistical Manual of Mental Disorders. As such, this study offers further evidence that there are dimensional relationships between sexual problems and depressive and anxiety disorders, which should be explicitly recognized in diagnostic systems.