Background: Depression and anxiety are highly prevalent among patients seeking outpatient treatment for alcohol use disorders (AUD) and if depression and anxiety are addressed the prognosis is improved. Screening instruments for depression and anxiety have been validated in populations suffering from drug use disorders, but not in populations suffering from AUD. The aim of this study was to validate four self-administrated screening instruments (PHQ-9, GAD-7, Kessler-6, and SRQ) and calculate the optimal cut-off value for identifying depression and anxiety. Methods: The study included 73 patients with self-reported depression or anxiety during AUD treatment. Each patient filled out the above-mentioned instruments and was subsequently interviewed by trained clinicians blinded to the results of the instruments with the Present State Examination to establish a diagnosis of depression or anxiety according to ICD-10. ROC curves were constructed for each instrument and the area under the curve (AUC) was calculated using patients with no depression or anxiety as reference. Youden’s index was calculated to assess the optimal cut-off for each instrument. Results: A total of 33 (45.2%) were diagnosed with depression or anxiety. The AUC for PHQ-9, GAD-7, Kessler-6, and SRQ were 0.767, 0.630, 0.793, and 0.698 respectively. Kessler-6, the instruments performing best based on the AUC, identified 27 (82%) of the 33 patients using a cut-off of 10 points. Conclusion: Kessler-6 seems to be valid and reliable in identifying patients requiring treatment for depression or anxiety among patients seeking treatment for AUD who are reporting depression or anxiety.