Anxiety disorder is a common psychiatric problem during late-life, and frequently co-occurs with depression. High comorbidity between anxiety and depression may partly be explained by the definition of the disorders and the assessment of both disorders with one instrument at the same time. The current study investigates the relation of current and past depression with anxiety disorders in the Rotterdam Study, a large population-based cohort study of older adults in the Netherlands (n study population = 5565). DSM-IV anxiety disorder was ascertained with the Munich version of the Composite International Diagnostic Interview. DSM-IV depression was diagnosed with the Schedules for Clinical Assessment of Neuropsychiatry (SCAN) on a different day. Past depression was assessed from general practitioners' records, self-report, and a prior SCAN interview. Of the 457 persons with an anxiety disorder, 11.6% had a comorbid major depression, and another 6.3% had other depressive syndromes. However, 49.3% of persons with an anxiety disorder experienced or had in the past experienced a depressive episode. Our study suggests that comorbid depression in older adults with anxiety disorders may be less prevalent than previously suggested. However, the relation of current anxiety disorders with past depression is substantial.