It is generally agreed that problems related to alcohol use and anxiety tend to occur within the same individual ("comorbidity"); however, the cause of this association remains controversial. Three prominent perspectives are that anxiety disorder promotes pathological alcohol use, that pathological alcohol use promotes anxiety disorder and that a third factor promotes both conditions. We review laboratory, clinical, family, and prospective studies bearing on the validity of these explanatory models. Findings converge on the conclusion that anxiety disorder and alcohol disorder can both serve to initiate the other, especially in cases of alcohol dependence versus alcohol abuse alone. Further, evidence from clinical studies suggests that anxiety disorder can contribute to the maintenance of and relapse to pathological alcohol use. Relying heavily on pharmacological and behavioral laboratory findings, we tentatively propose that short-term anxiety reduction from alcohol use, in concert with longer-term anxiety induction from chronic drinking and withdrawal, can initiate a vicious feed-forward cycle of increasing anxiety symptoms and alcohol use that results in comorbidity.