Frontal asymmetry of EEG alpha power (FA) may index the risk for anxiety and depression. Evidence linking FA to the underlying biological mechanisms is scarce. This is unfortunate because FA has potential as a biological marker to support gene finding in anxiety and depression. We examined the heritability of FA in 732 twins and their singleton siblings, and established the genetic and environmental contribution to the relation between FA and the risk for anxiety and depression. Multivariate models showed that FA is heritable only in young adults (males 32% and females 37%) but not in middle-aged adults. A significant relation between FA and the risk for anxiety and depression was only found in young adult females. This relation was explained by shared genes influencing both EEG and disease risk. Future studies on asymmetry of left and right frontal brain activation should carefully consider the effects of sex and age.