Abstract Introduction. Patients with comorbid depression and anxiety disorders have a higher suicide risk, increased social and vocational dysfunction and more severe and refractory illness. Methods. This paper reviews the studies examining the temporal relationship between onset of anxiety disorders and depression. Results. The highest rates of subsequent depression have been found in generalized anxiety disorder, followed by panic disorder and social anxiety disorder. The largest numbers of studies have been done on social anxiety disorder. Panic attacks, separation anxiety disorder and specific phobia also have an association with higher rates of subsequent depression in a limited number of studies. Conclusion. Further studies are needed to investigate whether treatment and treatment outcomes in anxiety disorders has an effect on the risk for developing subsequent depression.