There has been considerable debate about the relationship between anxiety and depression. Most of the research in this area has examined relationships between composite indices of each construct. It has been suggested, however, that social anxiety may be more highly related to depression than are other forms of anxiety. We report the results of a study of the differential relationship of anxiety related to three sources (social evaluation, physical danger, and unfamiliar situations) to both self-report and clinician-rated levels of depression in a sample of 117 psychiatric outpatients. The results indicate that anxiety concerning social evaluation and unfamiliar situations was more highly related to depression than anxiety about physical danger.