The two certainly go together for me and for others I know. It seems to me that they certainly work in concert, with anxiety worsening one's depression and having depressive thoughts exacerbating the anxiety one feels about situations. There is situational anxiety that occurs when one is faced with a distressing circumstance that isn't always present like Generalized Anxiety Disorder (GAD) that befalls one frequently over things that shouldn't ordinarily cause more than momentary discomfort. Too, there is a difference between feeling sadness for a period of time, say over a loss, that doesn't stay with a person regardless of inputs from the outside world and clinical depression that has its own indicators. It's all very complicated, and that's one reason that people are often evaluated for both conditions when presenting themselves for help.