Anxiety and depression are often comorbid conditions, but there is uncertainty as to how this comorbidity develops. Thus, in three studies, we attempted to discern whether anhedonia may be a key linking factor between anxiety and depression. Three studies asked participants about their symptoms of anxiety and depression: in Study 1, 109 participants completed measures of anxiety, depression, activity avoidance, and perceived enjoyability and importance of avoided activities; in Study 2, 747 participants completed measures of anhedonia, anxiety, depression, and defensiveness; in Study 3, 216 participants completed measures assessing the same constructs as in Study 2 at four time-points (ranging 11 months in span). In Study 1, symptoms of anxiety and depression were positively related only in individuals who relinquished potential enjoyment due to their anxiety-related avoidance; in Study 2, the indirect effect of anhedonia helped explained how anxiety symptoms imparted risk onto depressive symptoms; and in Study 3, anxiety led to anhedonia and then depression over time and anhedonia led to anxiety and then depression at both 5 and 11 months. The manuscript is limited by the use of a student sample in study 2, cross-sectional methods in studies 1 and 2, and reliance on self-ratings. Anxiety may devolve into depression through anhedonia, such that anxious individuals begin to lose pleasure in anxiety-provoking activities, which results in the development of other depressive symptoms.