Depressive symptoms predict within-person change in physical symptoms of anxiety and social anxiety symptoms; however, potential mediators of these within-person associations remain understudied. The current study examined whether overall stress, interpersonal stress, and achievement stress mediate the associations between depressive symptoms and physical, social, and separation anxiety symptoms for girls and boys in a sample of 680 community youth aged 8–18 (M = 11.8, SD = 2.4; 55% female) using a random intercept cross-lagged panel model (RI-CLPM). Participants completed measures of anxiety symptoms, depression symptoms, and stress (Adolescent Life Events Questionnaire) every 3 months for 3 years (13 total assessments). Overall and interpersonal stress partly mediated the longitudinal, within-person associations between depression symptoms and physical symptoms of anxiety and between depression symptoms and social anxiety symptoms. Stress did not mediate the longitudinal associations between depression and separation anxiety symptoms. Multigroup models indicated that total stress mediated the associations between depression and physical symptoms of anxiety, and between depression and social anxiety for girls but not for boys. Results support the role of stress as a mediator of the association between depression and anxiety symptoms and suggest that, as youth experience depression-related impairment, they may generate additional stressors, which increase their symptoms of physical and social anxiety.