We assessed whether a coexisting anxiety disorder predicts risk for persistent depression in primary care patients with major depression at baseline. Patients with major depression were identified in a 12-month prospective cohort study at a University-based family practice clinic. Presence of an anxiety disorder and other potential prognostic factors were measured at baseline. Persistent depressive illness (major depression, minor depression, or dysthymia) was determined at 12 months. Of 85 patients with major depression at baseline, 43 had coexisting anxiety disorder (38 with social phobia). The risk for persistent depression at 12 months was 44% greater [Risk Ratio (RR) = 1.44, 95% confidence interval (CI) 1.02-2.04] in those with coexisting anxiety. This risk persisted in stratified analysis controlling for other prognostic factors. Patients with coexisting anxiety had greater mean depressive severity [repeated measures analysis of variance (ANOVA), p < 0.04] and total disability days (54.9 vs 19.8, p < 0.02) over the 12-month study. Patients with social phobia had similar increased risk for persistent depression (RR = 1.40, 95% CI 0.98-2.00). A coexisting anxiety disorder indicates risk for persistent depression in primary care patients with major depression. Social phobia may be important to recognize in these patients. Identifying anxiety disorders can help primary care clinicians target patients needing more aggressive treatment for depression.