Rates of depression among panic disorder patients are particularly elevated in patients with comorbid social phobia. However, it is unclear whether this association is specific to social phobia, or whether any comorbid anxiety disorder increases the risk of depression. We assessed 100 panic disorder patients and found a significantly higher incidence of lifetime major depression for panic patients with comorbid social phobia or generalized anxiety disorder (GAD). Panic patients with comorbid social phobia had significantly higher scores on measures of dysfunctional attitudes and lower scores on measures of assertiveness; these variables may mediate the link between social phobia and depression in this population.