Some individuals set abstract, higher-order goals (e.g., happiness) conditionally upon the achievement of specific lower-order goals (e.g., completing an ultra-distance triathlon, finishing a university degree). This process is known as linking or Conditional Goal Setting (Street, 2000). This unhealthy style of goal setting has been directly related to increases in everyday depressive symptoms (dysphoria). Although the relationship between anxiety and depression is well established (Zimmerman, McDermut & Mattia, 2000) little is known about the interaction between linking, anxiety, and depression. The primary aim of this study is to investigate the relationship between general linking, everyday depressive symptoms, and state anxiety in a group of ultra-endurance athletes (N=223) competing in the 2001 Ironman New Zealand triathlon. Regression analyses show that linking is related to increased anxiety and depressive symptoms. The results suggest that the relationship between linking and depression is also mediated by somatic anxiety.