The PHQ-4 is a widely used open access screening instrument for depression and anxiety in different health care and community settings; however, empirical evidence of its psychometric quality in Colombia is lacking. The objectives of the current study were to generate normative data and to further investigate the construct validity and factorial structure of the PHQ-4 in the general population. A nationally representative face-to-face household survey was conducted in Colombia in 2012 (n = 1,500). The item characteristics of the PHQ-4 items, including the inter-item correlations and inter-subscale correlations, were investigated. To measure the scale's reliability, the internal consistency (Cronbach's α) was assessed. For factorial validity, the factor structure of the PHQ-4 was examined with confirmatory factor analysis (CFA). The Cronbach's alpha coefficient for the PHQ-4 was 0.84. The confirmatory factor analysis supported a two-factor model, which was structurally invariant between different age and gender groups. Normative data for the PHQ-4 were generated for both genders and different age levels. Women had significantly higher mean scores compared with men [1.4 (SD: 2.1) vs. 1.1 (SD: 1.9), respectively]. The results supported the discriminant validity of the PHQ-4. The normative data provide a framework for the interpretation and comparisons of the PHQ-4 with other populations in Colombia. The evidence supports the reliability and validity of the two-factor PHQ-4 as a measure of anxiety and depression in the general Colombian population.