Depression and anxiety are often comorbid and it is more likely that you will see both disorders rather than one in absence of the other. There is a lot of research going into determining why these disorders are often tangled together, some studies [1] suggest that depression can stem from anxiety disorders and that depression can exacerbate anxiety further. Of course there is anxiety-depression and depression-anxiety, finding out which of the these an individual has is a crucial step towards providing sufficient aid. One of the large issues is how hard it can be untangles these two disorders which is an important step in therapy.

[1] http://www.sciencedirect.com/science/article/pii/S0010440X00...