Modern applications significantly enhance user experience by adapting to each user's individual condition and/or preferences. While this adaptation can greatly improve a user's experience or be essential for the application to work, the exposure of user data to the application presents a significant privacy threat to the users\textemdash even when the traces are anonymized\textemdash since the statistical matching of an anonymized trace to prior user behavior can identify a user and their habits. Because of the current and growing algorithmic and computational capabilities of adversaries, provable privacy guarantees as a function of the degree of anonymization and obfuscation of the traces are necessary. Our previous work has established the requirements on anonymization and obfuscation in the case that data traces are independent between users. However, the data traces of different users will be dependent in many applications, and an adversary can potentially exploit such. In this paper, we consider the impact of dependency between user traces on their privacy. First, we demonstrate that the adversary can readily identify the association graph of the obfuscated and anonymized version of the data, revealing which user data traces are dependent. Next, we demonstrate that the adversary can use this association graph to break user privacy with significantly shorter traces than in the case of independent users, and that obfuscating data traces independently across users is often insufficient to remedy such leakage. Finally, we discuss how users can improve privacy by employing joint obfuscation that removes or reduces the data dependency.