Studies find a strong positive relationship between the affective components of anxiety and depression. However, most research thus far has examined the between-person correlations among these constructs, while ignoring how changes in these two types of affect covary over time within a person. Within-person correlations could differ meaningfully from how anxiety- and depression-related affect relate across individuals. Further, individuals may differ in terms of how highly these constructs covary over time. The current study aimed to (1) compare between- and within-person correlations between anxious and depressive affect, (2) examine lagged effects between anxious and depressive affect over time, (3) test whether individuals differ in their within-person correlations between these two types of affect, and (4) examine whether the mean level of affective intensity moderated these individual differences. These questions were explored using college undergraduates (N = 50) who rated their depression- and anxiety- related affect six times a day for two weeks. A higher average correlation was observed between anxious and depressive affect in between-person compared to within-person analyses. Significant bidirectional lagged effects were observed between these constructs. Individuals with higher average levels of anxious affect experienced stronger within-person correlations between anxious and depressive affect.