This study investigated the relationship between social anxiety, depressive symptoms, and behavioral avoidance among adult patients with Social Anxiety Disorder (SAD). Epidemiological literature shows SAD is the most common comorbid disorder associated with Major Depressive Disorder (MDD), though the relationship between these disorders has not been investigated. In most cases, SAD onset precedes MDD, suggesting symptoms associated with SAD might lead to depression in some people. The present study addressed this question by investigating the mediational role of behavioral avoidance in this clinical phenomenon, using self-report data from treatment-seeking socially anxious adults. Mediational analyses were performed on a baseline sample of 190 individuals and on temporal data from a subset of this group. Results revealed behavioral avoidance mediated this relationship, and supported the importance of addressing such avoidance in the therapeutic setting, via exposure and other methods, as a possible means of preventing depressive symptom onset in socially anxious individuals.