Methodologic issues pertinent to the study of depression secondary to anxiety are reviewed. Data on the frequency and temporal sequence of comorbid DSM-III-R anxiety and depressive disorders in a sample from the McLean Hospital Depression Research Facility are presented. Patients with major depression secondary to anxiety are compared with major depressed patients without anxiety on a variety of demographic and clinical variables. Conceptual and practical frameworks are developed for assessing and understanding comorbidity and secondary depression.