Anxiety and depression are highly comorbid, and mechanisms of their co-occurrence remain largely unclear. Several longitudinal studies suggest that anxiety disorders tend to temporally precede depression, but few comorbidity theories integrate this information. Furthermore, it is unclear whether this temporal pattern replicates when examining symptoms on a daily basis (potentially the time frame over which comorbidity mechanisms unfold). In addition, little research has attempted to identify mechanisms through which anxiety leads to later depressive symptoms. For example, anxiety may prompt rumination about one's anxiety symptoms, or may lead individuals to feel hopeless, in turn prompting depressive symptoms. The current study uses diary methods to examine several questions: First, does anxious mood precede depressed mood on a daily basis (replicating patterns over longer time frames)? Second, do anxiety-focused rumination and hopelessness mediate this association? Finally, moderation models (where the association between anxious and depressed mood differed according to levels of rumination and hopelessness) were also tested. Fifty-five adults meeting full criteria for generalized anxiety disorder with a history of major depression symptoms were recruited from community sources. Participants completed a 21-day daily survey assessing anxious mood, depressed mood, anxiety-focused rumination, and hopelessness. Results showed that anxious mood predicted later depressed mood much more robustly than the reverse effect, and over multiple time lags. Results were similar for other symptoms of anxiety and depression. Hopelessness did not emerge as a significant mediator or moderator over the time lags tested. A moderational model was supported for anxiety-focused rumination, where anxious and depressed mood were more strongly associated on days when rumination was high. Results provide new, compelling data on the daily temporal patterns of anxiety and depressive symptoms, and offer preliminary suggestion that anxiety-focused rumination may play a role in generating this symptom co-occurrence.