The high prevalence of Problem Behaviours (PB) in persons with intellectual disability (ID) and Autism Spectrum Disorder (ASD) has been associated by some researchers to a proportionate frequency of Major Depressive Disorder (MDD), which have a different presentation in persons with ID and ASD than in the general population, mostly as behavioural changes. Nevertheless, evidence on this behavioural equivalency is still scarce. The present study aims at evaluating the rate of MDD in persons with ID and ASD presenting PB. Two groups of persons with mild-to-moderate ID and ASD, with and without PB underwent a complex clinical (Diagnostic Manual - Intellectual Disability) and instrumental (Reiss Screen for Maladaptive Behaviour; Mini Psychiatric Assessment Schedule for Adults with Developmental Disabilities). The prevalence of MDD was found to be significantly higher in the group with PB. The severity of depressive symptoms resulted to have a strong correlation with the scores of instrumental assessment of PB. Our findings support previous literature on a high association between PB and MDD in persons with ID and ASD. The level of the equivalency between specific MDD symptoms and different PB deserves further investigations.