We study discrete vortices in coupled discrete nonlinear Schrödinger equations. We focus on the vortex cross configuration that has been experimentally observed in photorefractive crystals. Stability of the single-component vortex cross in the anti-continuum limit of small coupling between lattice nodes is proved. In the vector case, we consider two coupled configurations of vortex crosses, namely the charge-one vortex in one component coupled in the other component to either the charge-one vortex (forming a double-charge vortex) or the charge-negative-one vortex (forming a, so-called, hidden-charge vortex). We show that both vortex configurations are stable in the anti-continuum limit, if the parameter for the inter-component coupling is small and both of them are unstable when the coupling parameter is large. In the marginal case of the discrete two-dimensional Manakov system, the double-charge vortex is stable while the hidden-charge vortex is linearly unstable. Analytical predictions are corroborated with numerical observations that show good agreement near the anti-continuum limit, but gradually deviate for larger couplings between the lattice nodes.