The object of this paper is to specify the role of anxiety disorders taken as a group or separately (including panic disorder, social phobia, specific phobia, obsessive-compulsive disorder, generalized anxiety disorder and post-traumatic stress disorder) as potential causal risk factors for depression and alcohol use disorders. Several studies have consistently suggested that some anxiety disorders are primary to other mental disorders in a majority of co-morbid cases and could increase the risk of their onset. We performed a computerized search (Pubmed) on recent published studies on this subject. We focused on recent prospective studies. Several findings have confirmed that the number and severity of some primary anxiety disorders may significantly increase the risk of subsequent mental disorders (such as depression and alcohol use disorders). However, the authors are not unanimous on this subject. A precise determination of whether various anxiety disorders could constitute causal risk factors for subsequent mental disorders would permit a better understanding of disease aetiology, improve the efficiency of diagnosis and would allow development of effective interventions.