I kind of think so, in a way. The best example I can come up with is a social phobia. You're so afraid of social situations, it really impacts your life, you become lonely and have much difficulty forming close relationships, and as such you wind up very depressed. Not to mention that anxiety is an incredibly frustrating thing to deal with anyway. I mean, after a while of dealing with it you just sort of give up on things and you feel like there's no hope.