Our objective was to determine if pretreatment anxiety levels were associated with preferential response to bupropion sustained release (n = 122) or sertraline (n = 126) during a 16-week randomized acute phase treatment study. Both agents had comparable antidepressant activity, and comparable anxiolytic effects using the intent-to-treat sample. Baseline anxiety levels were not related to antidepressant efficacy, and they did not differentiate responders to each agent. Time to clinically significant anxiolysis did not differentiate between treatment groups or between responders to each agent. These results contradict the commonly held, but unsubstantiated, belief that in clinically depressed anxious patients, serotonergic antidepressants are especially anxiolytic and that such patients preferentially benefit from the antidepressant or anxiolytic effects of selective serotonin reuptake inhibitors. Thus, the clinical decision to select between these two agents when treating depressed outpatients cannot rest on either levels of pretreatment anxiety or on anticipation of more rapid or more complete anxiolysis.