Not only do anxiety and depression diagnoses tend to co-occur, but their symptoms are highly correlated. Although a plethora of research has examined longitudinal associations between anxiety and depression, these data have not yet been effectively synthesized. To address this need, the current study undertook a systematic review and meta-analysis of 66 studies involving 88,336 persons examining the prospective relationship between anxiety and depression at both symptom and disorder levels. Using mixed-effect models, results suggested that all types of anxiety symptoms predicted later depressive symptoms (r = .34), and all types of depressive symptoms predicted later anxiety symptoms (r = .31). Although anxiety symptoms more strongly predicted depressive symptoms than vice versa, the difference in effect size for this analysis was very small and likely not clinically meaningful. Additionally, all types of diagnosed anxiety disorders predicted all types of later depressive disorders (OR = 2.77), and all depressive disorders predicted later anxiety disorders (OR = 2.73). Most anxiety and depressive disorders predicted each other with similar degrees of strength, but depressive disorders more strongly predicted social anxiety disorder (OR = 6.05) and specific phobia (OR = 2.93) than vice versa. Contrary to conclusions of prior reviews, our findings suggest that depressive disorders may be prodromes for social and specific phobia, whereas other anxiety and depressive disorders are bidirectional risk factors for one another.