Background: It is well established that the presence of prominent anxiety within depressive episodes portends poorer outcomes. Important questions remain as to which anxiety features are important to outcome and how sustained their prognostic effects are over time. Aims: To examine the relative prognostic importance of specific anxiety features and to determine whether their effects persist over decades and apply to both unipolar and bipolar conditions. Method: Participants with unipolar (n = 476) or bipolar (n = 335) depressive disorders were intensively followed for a mean of 16.7 years (s.d. = 8.5). Results: The number and severity of anxiety symptoms, but not the presence of pre-existing anxiety disorders, showed a robust and continuous relationship to the subsequent time spent in depressive episodes in both unipolar and bipolar depressive disorder. The strength of this relationship changed little over five successive 5-year periods. Conclusions: The severity of current anxiety symptoms within depressive episodes correlates strongly with the persistence of subsequent depressive symptoms and this relationship is stable over decades.