The current study examined whether depressed outpatients with comorbid SAD respond differently to a cognitive-behavioral group intervention and if so, how and why. Using growth curve modeling, we found evidence that depressed clients with comorbid SAD had rapid improvement in depressive symptoms over the course of treatment and generally did not differ from those without comorbidity in developing close therapeutic relationships and modifying the direction of attentional focus away from the self. Non-linear effects demonstrated that rates of change in depressive symptoms, relationship variables, and focus of attention, were most rapid early in treatment. In contrast to hypotheses, trajectories of change in therapeutic relationships and attentional focus did not mediate the effect of SAD on treatment improvement in depressive symptoms. These findings suggest that comorbid SAD does not have a detrimental effect on the course of depression treatment and group-based treatments can be as beneficial for depressed individuals with comorbid SAD. It may be that group-based treatments for depression provide explicit opportunity for emotional processing in social situations (i.e., exposure) and hence mimic efficacious therapies for SAD.