In this paper, we articulate a hierarchical model of social interaction anxiety (SIA) and depression to account for their comorbidity and the uniqueness of SIA. First, negative affect (NA) and positive affect (PA) are conceptualized as general factors shared by SIA and depression; the fear of negative evaluation (FNE) is operationalized as the specific factor, which accounts for more of the variance in SIA than in depression, and the fear of positive evaluation (FPE) is operationalized as the factor unique to SIA. FPE is the key feature that differentiates SIA from depression. Second, the proposed hierarchical model describes structural relationships among these factors, in which the higher-level factors (i.e., high NA and low PA) represent the vulnerability markers of both SIA and depression and the lower-level factors (i.e., FNE and FPE) are the dimensions of specific cognitive features. In addition, an alternative model, in which all of the relationships are the same, except that FPE is operationalized as a specific factor, is proposed to clarify the role of FPE. The results from the hierarchical regression and the structural equation modeling support the hypothesized hierarchical model. Further theoretical and practical implications for FPE and the multilevel model are discussed.