PurposeThis study explored differences in self-reported responses and the psychometric performance of the composite EQ-5D-5L anxiety/depression (A/D) dimension compared with a split version of the dimension where ‘anxiety’ and ‘depression’ are measured separately.MethodsPeople with anxiety and/or depression who visited the Amanuel Mental Specialized Hospital in Ethiopia completed the standard EQ-5D-5L with the added subdimensions. Correlation analysis was used to examine convergent validity with validated measures of depression (PHQ-9) and anxiety (GAD-7), while ANOVA was used to assess known-groups’ validity. Agreement between ratings for composite and split dimensions was compared using percent agreement and Cohen’s Kappa, while the proportion of ‘no problems’ reports was compared using the chi-square test. Discriminatory power analysis was undertaken using the Shannon index (H’) and Shannon Evenness index (J’). Open-ended questions explored participants' preferences.ResultsOf the 462 respondents, 30.5% reported no problems with the composite A/D, while 13.2% reported no problems on both subdimensions. Agreement between ratings for composite and split dimensions was highest for respondents with comorbid anxiety and depression. The depression subdimension had higher correlation with PHQ-9 (r= 0.53) and GAD-7 (r= 0.33) than the composite A/D dimension (r= 0.36 andr= 0.28, respectively). The split subdimensions and composite A/D could adequately differentiate respondents based on their severity of anxiety or depression. Slightly better informativity was observed in EQ-4D-5L + anxiety (H’= 5.4;J’= 0.47) and EQ-4D-5L + depression (H’= 5.31;J’= 0.46) than EQ-5D-5L (H’= 5.19;J’= 0.45).ConclusionsAdopting two subdimensions within the EQ-5D-5L tool appears to perform slightly better than the standard EQ-5D-5L.Supplementary InformationThe online version contains supplementary material available at 10.1007/s11136-023-03372-7.