They're both mental illnesses. While common independently, the issues that cause other mental illnesses often result in depression as a side issue.

I was thinking more along the lines that if someone is OCD they can probably detect incomplete plans and lines of thought more easily than others, and so see in general that most ideas are not well supported or understood by people. Thus, a person's society and culture in general may not seem very well thought out, which can be a source of anxiety and depression.