Models of social anxiety and depression in youth have been developed separately, and they contain similar etiological influences. Given the high comorbidity of social anxiety and depression, we examine whether the posited etiological constructs are a correlate of, or a risk factor for, social anxiety and/or depression at the symptom level and the diagnostic level. We find core risk factors of temperament, genetics, and parent psychopathology (i.e., depression and anxiety) are neither necessary nor sufficient for the development of social anxiety and/or depression. Instead, aspects of children's relationships with parents and/or peers either mediates (i.e., explains) or moderates (i.e., interacts with) these core risks being related to social anxiety and/or depression. We then examine various parent- and peer-related constructs contained in the separate models of social anxiety and depression (i.e., parent-child attachment, parenting, social skill deficits, peer acceptance and rejection, peer victimization, friendships, and loneliness). Throughout our review, we report evidence for a Cumulative Interpersonal Risk model that incorporates both core risk factors and specific interpersonal risk factors. Most studies fail to consider comorbidity, thus little is known about the specificity of these various constructs to depression and/or social anxiety. However, we identify shared, differential, and cumulative risks, correlates, consequences, and protective factors. We then put forth demonstrated pathways for the development of depression, social anxiety, and their comorbidity. Implications for understanding comorbidity are highlighted throughout, as are theoretical and research directions for developing and refining models of social anxiety, depression, and their comorbidity. Prevention and treatment implications are also noted.