Background Previous research has demonstrated that anxiety reliably predicts later depression, but little has been uncovered about the mechanism underlying this connection. Interpersonal relationships appear to be a viable mechanism of the association as anxiety has been shown to predict later deficits in both close (e.g., “best friendships”) and group relationships (e.g., classroom peer groups), and deficits in both close and group relationships have been linked to later depressive symptoms. The current study examined close and group relationships as potential mediators between anxiety and depression 12–14 years later. Methods In a nationally representative sample of adolescents (N = 6,504), anxiety was measured at baseline, perceptions of close relationships (i.e., feeling loved) and perceptions of group relationships (i.e., feeling part of a group) were measured 6 months later, and depression levels and diagnosis were measured 12–14 years later. Results Using structural equation models, the results showed that adolescent perceptions of both close and group relationships significantly mediated the relationship between adolescent anxiety and adult levels of depression. Furthermore, perceptions of not being accepted/loved in close relationships significantly mediated the relationship between adolescent anxiety and clinical depression in adulthood. Conclusions These results suggest that a perception of not being accepted in group relationships may be a mechanism by which heightened anxiety in adolescents leads to heightened nonclinical depression in adulthood. On the other hand, adolescent perceptions of not feeling loved or accepted in close relationships may be a mechanism by which heightened anxiety in adolescence leads to clinical depression—in adulthood.