During psychotherapy some patients experience large symptom improvements between sessions, termed sudden gains. Most commonly, sudden gains are observed during treatment for depression (40–50% of participants), but these are occasionally also observed in treatment for anxiety (15–20%). This study investigated the impact of comorbid depression on sudden gains in a primary anxiety sample. It was hypothesised that sudden gains would occur more frequently in participants with anxiety and comorbid depression than anxiety-only participants. The sample consisted of 58 adults who participated in a 12-week transdiagnostic cognitive-behavioural therapy (tCBT) programme. Sudden gains were more frequent in the comorbid depression group than in the anxiety-only group. Sudden gains may be predominantly a function of depressive disorders, which supports the higher rates seen in depressive disorders compared with anxiety disorders. Future research should endeavour to replicate these findings, as this was the first study designed to specifically investigate comorbidity in sudden gains.