Eighty-seven patients with current episode of depression were assessed by the SCID-P and subdivided in bipolar depressives (N = 24), unipolar depressives (n = 38) and dysthymics (n = 25). Anxiety disorders comorbidity in these three groups was investigated by means of the SCID-P. Panic disorder comorbidity was found in 36.8% of bipolar depressives, 31.4% of unipolar depressives and 13% of dysthymics. Prevalence of obsessive-compulsive disorder was 21.1% in bipolars, 14.3% in unipolars and 8.7% in dysthymics. Generalized anxiety disorder resulted in being much more associated with dysthymia (65.2%) than with bipolar (31.6%) or unipolar depression (37.1%). Social phobia comorbidity was exhibited mainly by unipolars (11.4%), while no cases were detected in the bipolar group. Odds ratios revealed that generalized anxiety disorder is significantly more likely to co-occur with dysthymia. Panic disorder showed a higher trend to be associated with bipolar and unipolar depression. Social phobia was more frequent among unipolar depression.