Depressive, anxiety, and trauma-related disorders have many symptoms in common such as unstable mood, high anxiety, sleep disturbance, impaired concentration among others. This degeneracy creates ambiguity in classifying psychiatric disorders and raises the question of their categorical vs. dimensional nature. Consequently, such ambiguity presents a dilemma for choosing diagnosis-specific vs. trans-diagnostic therapies. In this paper, I build on a theory that considers affective disorders on the continuum of stress response from normative to traumatic. Using an integrative evolutionary-stress response-predictive processing (iESP) model, I arrange affective disorders on a continuum of precision-weighting dysregulation, where depressive, anxiety and trauma-induced disorders have a characteristic pattern of precision-weighting dysregulation. I specifically address the relationship between anxiety and depressive stress responses, exploring the role of anxiety in the dynamics of depressive stress response and the resulting high co-occurrence of anxiety and depression symptoms. Finally, I discuss the model's relevance for therapy of depression.