Anxiety and depression are often highly correlated with each other. To explain this connection, the present study examined the longitudinal relationship between earlier anxiety and later depression, using avoidance as a mediator and trauma as a moderator. Participants (N = 6504 adolescents) completed baseline measures of anxiety and depression, a measure of avoidance one year later, a measure of trauma six to eight years later, and a measure of depression 12–14 years later. Analyzed with structural equation models, the results showed that anxiety predicted later depression, and this relationship was partially mediated by avoidance. The relationship between avoidance and depression was not moderated by trauma. Together, these findings suggest that anxiety may influence later depression through avoidance, and this relationship remains unaffected by experiencing a traumatic experience.