Many individuals seeking treatment for social anxiety disorder (SAD) also meet criteria for a comorbid depressive disorder. Little is known, however, about how a comorbid depressive disorder affects social anxiety treatment. This study examined 61 participants with SAD and 72 with SAD and a comorbid depressive disorder (SAD+D) before and after 12 weeks of cognitive behavioural group therapy (CBGT) for social anxiety. Although patients with SAD+D reported more severe symptoms of social anxiety and depression at pretreatment, treatment was similarly effective for individuals with SAD and SAD+D. However, individuals with SAD+D continued to report higher symptom severity at post-treatment. Interestingly, CBGT for social anxiety also led to improvements in depressive symptoms despite the fact that depression was not targeted during treatment. Improvement in social anxiety symptoms predicted 26.8% of the variance in improvement in depressive symptoms. Results suggest that depressive symptoms need not be in remission for individuals to benefit from CBGT for social anxiety. However, more than 12 sessions of CBGT may be beneficial for individuals with comorbid depression.