I've been diagnosed with ADHD, anxiety, and depression. I think that they definitely can go hand in hand, if one or more are untreated.

I've personally found that the ADHD medication, when it's working at the proper dosage, helps ease my anxiety. I feel super scattered when I'm unmedicated for the ADHD and that causes me anxiety because I constantly feel like I'm forgetting something and trying to juggle way too many balls at once. When I'm less anxious and my ADHD symptoms are under control, I make less mistakes, which helps prevent depressive symptoms from creeping in.