In the community, depression and anxiety are highly prevalent. The relationship between these two conditions is often unclear and has been the subject of much discussion. The classical viewpoint considered depression and anxiety to be two disorders with separate treatment options: anxiolytic agents for anxiety and antidepressant agents for depression. Depression and anxiety may occur together representing comorbid 'pure' conditions, or anxiety may predispose depression (or vice versa), or symptoms of anxiety and depression may be external manifestations of one underlying cause, or there may be an overlap of classifications. It is also possible that a mixed anxiety and depressive disorder exists: the association of subthreshold depressive symptoms and subthreshold depressive anxiety. This review examines the relationship of co-occurring depression and anxiety. The socioeconomic burden and the need for effective treatment of comorbid anxiety and depression are highlighted. The SSRIs, e.g. paroxetine, are discussed in particular as appropriate pharmacological therapy for anxiety with depression.