Anxiety and depressive disorders are common mental disorders in general population, imposing tremendous burden on both affected persons and society. Moreover, comorbidity between anxiety and depressive conditions is high, leading to substantial disability and functional impairment. Findings consistently suggest that anxiety disorders are primary to depression in the majority of comorbid cases. Yet, the question of whether anxiety disorders are risk factors for depression, and potentially even causal risk factors for the first onset of depression, remains unresolved. Recent results have shown that anxiety disorders increase the risk for subsequent depression, and also affect the course of depression, resulting in a poorer prognosis. Further, some results suggest a dose-response-relationship in revealing that a higher number of anxiety disorders and more severe impairment associated with anxiety disorders additionally increase the risk for subsequent depression. The goal of this paper is to review recent literature, summarize implications of previous findings, and suggest directions for future research regarding preventive and intervention strategies.