Many individuals with social anxiety disorder (SAD) have depressive symptoms that meet criteria for major depressive disorder (MDD). In our study, we examined the temporal relationship between symptoms of social anxiety and symptoms of depression during the course of an 11-week internet-delivered cognitive behavioral treatment (ICBT) for SAD (n = 170). Specifically, we investigated whether weekly changes in social anxiety mediated changes in depression, changes in depression mediated changes in anxiety, both or neither. In addition, we compared individuals with SAD and MDD (n = 50) and individuals with SAD and no MDD (n = 120) to examine the role of MDD as a moderator of the social anxiety-depression relationship. Lower-level mediational modeling revealed that changes in social anxiety symptoms mediated changes in depression symptoms to a greater extent than vice versa. In addition, mediation among individuals with SAD and MDD was significantly greater compared to individuals with SAD and no MDD. Our findings suggest that ICBT is effective in treating individuals with SAD regardless of comorbid depression, and that focusing ICBT interventions on social anxiety can lead to significant reductions in depression among individuals with SAD.