The relationship between the constructs of depression and anxiety were examined with 443 Turkish college students. Significant correlations were found. Factor analyses computed with state and trait anxiety, as defined as the State-Trait Anxiety Inventory (STAI; Spielberger, Gorsuch, & Lushene, 1970) and depression, as defined as the Beck Depression Inventory-II (BDI-II; Beck & Steer, 1993) supported the notion that anxiety and depression may be two different psychological constructs; however the distinction was not clearcut. The results showed bidimensional structures for both state anxiety and trait anxiety. Relationships indicate that the BDI-II is measuring trait depression. Results were discussed in relation to previous studies.