Many studies have consistently reported that anxiety and depression are highly correlated, and depressive and anxiety disorders co-occur frequently. Research on relation between anxiety and depression has proceeded at a rapid pace since 1980s. Various theoretical models to the understanding the similarities and differences between these two conditions have been proposed. These theoretical models include in three approaches: the cognitive approaches, the structural models, and the neuropsychological approaches. The cognitive approaches include Beck\'s cognitive-content specificity model and the information processing approaches. The structural models include the two-factor affective model, Clark and Watson\'s tripartite model, and the integrative hierarchical model. And the neuropsychological approaches include Davidson\'s approach-withdrawal model and Heller\'s neuropsychological model. This paper describes these theoretical models to explain the relation between anxiety and depression, and reviews empirical evidence of these models. In sum, no model was strongly supported across all types of studies. Finally, considerations for future directions are discussed. Key Words: Anxiety, Depression, Cognitive Approach, Structural Model, Neuropsychological Approach