Psychiatric comorbidity is clinically significant yet challenging due to the complexity of multiple co-occurring disorders. To address this, we develop a novel approach integrating synthetic patient electronic medical record (EMR) construction and multi-agent diagnostic dialogue generation. We create 502 synthetic EMRs for common comorbid conditions using a pipeline that ensures clinical relevance and diversity. Our multi-agent framework transfers the clinical interview protocol into a hierarchical state machine and context tree, supporting over 130 diagnostic states while maintaining clinical standards. Through this rigorous process, we construct PsyCoTalk, the first large-scale dialogue dataset supporting comorbidity, containing 3,000 multi-turn diagnostic dialogues validated by psychiatrists. This dataset enhances diagnostic accuracy and treatment planning, offering a valuable resource for psychiatric comorbidity research. Compared to real-world clinical transcripts, PsyCoTalk exhibits high structural and linguistic fidelity in terms of dialogue length, token distribution, and diagnostic reasoning strategies. Licensed psychiatrists confirm the realism and diagnostic validity of the dialogues. This dataset enables the development and evaluation of models capable of multi-disorder psychiatric screening in a single conversational pass.