Objective The aim of this article was to investigate how anxiety and depression impact upon each other over the course of a counselling intervention. Method A single‐group repeated measures quasi‐experimental design was employed. Data were collected at four time points: at pre‐therapy assessment and at first, third, and last sessions. The sample consisted of 562 predominantly white British clients receiving Integrative Counselling at North Kent Mind, UK. Two measures were used: the Generalised Anxiety Disorder (GAD) Scale to measure anxiety and the Patient Health Questionnaire (PHQ) to measure depression. Results Clients improved in both dimensions at every measurement point. Path analysis suggested that anxiety and depression remained interlinked throughout treatment but they presented different effect profiles. They both appeared to have a premature effect on the other, but they did so in different ways. Conclusions The therapeutic relationship may be a crucial factor in understanding the premature effect observed and future research should utilise direct measures of the relationship.