(1) Background: Comorbidity between Alcohol Use Disorders (AUD), mood, and anxiety disorders represents a significant health burden, yet its neurobiological underpinnings are elusive. The current paper reviews all genome-wide association studies conducted in the past ten years, sampling patients with AUD and co-occurring mood or anxiety disorder(s). (2) Methods: In keeping with PRISMA guidelines, we searched EMBASE, Medline/PUBMED, and PsycINFO databases (January 2010 to December 2020), including references of enrolled studies. Study selection was based on predefined criteria and data underwent a multistep revision process. (3) Results: 15 studies were included. Some of them explored dual diagnoses phenotypes directly while others employed correlational analysis based on polygenic risk score approach. Their results support the significant overlap of genetic factors involved in AUDs and mood and anxiety disorders. Comorbidity risk seems to be conveyed by genes engaged in neuronal development, connectivity, and signaling although the precise neuronal pathways and mechanisms remain unclear. (4) Conclusion: given that genes associated with complex traits including comorbid clinical presentations are of small effect, and individually responsible for a very low proportion of the total variance, larger samples consisting of multiple refined comorbid combinations and confirmed by re-sequencing approaches will be necessary to disentangle the genetic architecture of dual diagnosis.