Generalized Anxiety Disorder is characterized by worry and somatic anxiety symptoms which may generate dependent negative events and convey risk for depression. The current study prospectively examined the role of anxiety, worry, and depression in stress generation among an unselected undergraduate sample using a cross-lagged panel design with data collected at three time points. Results partially supported the role of depressive symptoms and anxiety symptoms as risk factors for dependent events. However, the role of worry in stress generation was not supported. The current study also suggested that anxiety symptoms serve as a risk factor for the development of depressive symptoms and that depressive symptoms mediate the association between anxiety symptoms and negative life events over time. These findings partially support the role of anxiety in the stress generation process and are consistent with a model of sequential comorbidity in which anxiety symptoms convey risk for depression. The importance of the current findings for the broad stress generation literature and the nature of comorbidity between GAD and MDD are discussed.