Yes, major depressive disorder (MDD) can be a common affliction for people with OCD, research suggests that up to 80 percent of people with OCD also meet the criteria for the diagnosis of MDD at some time in their lives.
Individuals could easily become depressed because of the interference of OCD in their life. Some individuals with OCD may even become suicidal, thinking that there is no way out of their spiral of obsessions and compulsions.
Also, OCD and MDD can often be treated with the same medications, so there may be a relationship between OCD and MDD in the brain. In fact, medications for both disorders focus on serotonin, so even at a neurotransmitter level there may be a relationship between OCD and MDD.
In terms of treatment, severe depression can interfere with the treatment of OCD, especially with the motivation to do exposure therapy. Therefore, it is best to treat severe depression first, with either therapy or medications or with a combination of both.
Once the MDD is brought to more moderate levels, then you can start therapy for the OCD, but it will be very important to watch for any signs of relapse of MDD, especially any thoughts or intentions of suicide.