Co-evolution in general happens simply because each species is a significant part of the other's environment and so dictates selection pressures. It's probably easier to see in predator prey relationships, when you can get evolutionary "arms races", each small advantage for one becomes a pressure for the other. Mutual dependency is just the inverse, the more accommodating to the mutual relationship each becomes, the better its survival chances.
I didn't know anything about this particular example but it seems it's not such a clear case, I found this:
Evolutionary GEM: Coevolution of Yuccas and Yucca Moths | Western Undergraduate Research Journal: Health and Natural Sciences
The relationship between yucca moths and yucca plants is an example of obligate mutualism. Many species of yucca plant can be pollinated by only one species of yucca moth, while those yucca moths use the yucca flowers as a safe space to lay their eggs. The traits found in yucca plants and yucca moths that enabled them to cooperate were originally suspected to have arisen due to coevolution. However, the majority of these traits appear to have been present before yuccas became the host plant. In addition, there is a delay in speciation of yucca moth lineages when compared with the phylogenies of yucca plants, suggesting that coevolution was not the main driving force of the mutualistic relationship between the two species. Yucca moths may have acquired adaptations as selection drove the populations to complement the unique template already established by yucca plants.
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