Objective To explore the efficacy of cognitive‐behavior therapy (CBT) for patients with comorbid generalized anxiety disorder (GAD) and insomnia using 2 sequential treatments. Method Using a single‐case methodology, 10 women (mean age = 45) with chronic insomnia and GAD were randomly assigned to CBT for GAD followed by CBT for insomnia, or to CBT for insomnia followed by CBT for GAD. Sleep and anxiety were measured via diagnostic interviews, daily diaries, and self‐report questionnaires. Results Time series analyses, group effect sizes, and indications of clinically significant change revealed improvements on anxiety, worry, and sleep after CBT for GAD. Following CBT for insomnia, positive changes were observed on sleep and, to a lesser extent, anxiety and worry. Conclusions In the presence of comorbid GAD and insomnia, initiating treatment for GAD first produced superior clinical benefits in anxiety and sleep. The addition of insomnia‐specific treatment led to additional improvements in worry and sleep quality.