Phobias and major depression are both relatively common and can occur together. It could be that there are common biological and psychological factors between the two conditions or that there are sociocultural factors that make phobias more damaging in some cultures than in others. A team of researchers from Japan studied 2,436 people and looked into the links between specific phobias (e.g. spiders, dogs, lifts), agoraphobia, social phobia, and depression. The study found that social phobia was linked to a fourfold increase in the risk of depression whereas the other phobias had little effect. The researchers thought that because Japan is a relatively collectivist culture the social problems linked to social phobia could make it a more powerful cause of depression in Japan than in other countries.
Tsuchiya, Masao ... [et al] - Lifetime comorbidities between phobic disorders and major depression in Japan: results from the World Mental Health Japan 2002-2004 survey Depression and Anxiety October 2009, 26(10), 949-955