Objective. To determine the association between anxiety disorders, panic attack and the risk of major depression among adults in the community.

Method. Data were drawn from the Epidemiologic Catchment Area Program survey waves 1 (N = 20291) and 2 (N = 15849). Multivariate logistic regression analyses were used to determine the risk of incident major depression at 12-month follow-up (wave 2) associated with each anxiety disorder and panic attacks assessed at wave 1, adjusting for differences in sociodemographic characteristics, and then controlling simultaneously for all anxiety disorders, and other psychiatric co-morbidity.

Results. Specific phobia (OR = 1.7 (1.6, 1.8)), agoraphobia (OR = 2.3 (2.2, 2.5)), obsessive–compulsive disorder (OR = 5.4 (5.0, 5.8)) and panic attack (OR = 1.9 (1.8, 2.1)) each made an independent contribution to the risk of major depression, which persisted after adjusting simultaneously for sociodemographic differences and other psychiatric co-morbidity.

Conclusions. Each anxiety disorder and panic attacks appear to confer an independent risk for the onset of major depression within 12-months among adults in the community. Understanding the key role played by anxiety in depression onset is needed for prevention strategies.