To investigate the interactive process of changes in social anxiety and depression during treatment, the authors assessed weekly symptoms in 66 adult outpatients with social phobia (social anxiety disorder) who participated in cognitive- behavioral group therapy. Multilevel mediational analyses revealed that improvements in social anxiety mediated 91% of the improvements in depression over time. Conversely, decreases in depression only accounted for 6% of the decreases in social anxiety over time. Changes in social anxiety fully mediated changes in depression during the course of treatment. The theoretical and clinical implications of these findings for the relationship between anxiety and depression are discussed.