Anxiety and depression co-occur, both at the disorder and symptom levels, and within anxiety disorders, fluctuations in daily anxious mood correspond temporally to fluctuations in depressed mood. However, little is known about the factors or conditions under which anxiety and depressive symptoms are most likely to co-occur. The current study investigated the role of cognitive factors (daily rumination and cognitive attributions about anxiety symptoms) and interpersonal functioning (daily perceived rejection, support, criticism, and interpersonal problems) as moderators of the daily association between anxious and depressed moods. Fifty-five individuals with generalized anxiety disorder completed a 21-day diary assessing daily mood and cognitive and interpersonal functioning. Ratings of anxious and depressed mood were more closely associated on days when participants ruminated about their anxiety or viewed anxiety symptoms more negatively. Furthermore, anxious mood predicted later depressed mood on days when participants reported greater interpersonal problems and more perceived rejection. Results suggest that cognitive and interpersonal factors may elevate the likelihood of anxiety-depression co-occurrence.