BACKGROUND: Major depressive disorder (MDD) is a recurrent and persistent mental illness. However, there is a lack of research that distinguishes the severity of comorbid anxiety disorders in MDD, and insufficient evidence exists regarding the prevalence of MDD patients with comorbid moderate-to-severe anxiety in the Chinese population. METHODS: The study included 1718 MDD patients (894 with moderate-to-severe anxiety symptoms and 824 without moderate-to-severe anxiety symptoms). Clinical symptoms and development were assessed using the Hamilton Depression Rating Scale-17 (HAMD-17), Hamilton Anxiety Rating Scale-14 (HAMA-14), Positive and Negative Syndrome Scale (PANSS), and Clinical Global Impression (CGI). The blood pressure and thyroid hormone levels were measured. RESULTS: We found that the incidence of MDD patients with moderate-to-severe anxiety symptoms was 52.04%. The prevalence of recent suicide attempts in MDD comorbid moderate-to-severe anxiety patients was 31.8%, which was 4.24 times higher than that in patients without moderate-to-severe anxiety. Additionally, suicide attempters had elevated levels of thyroid stimulating hormone (TSH), anti-thyroglobulin (TgAb), thyroid peroxidases antibody (TPOAb), systolic blood pressure (SBP), and diastolic blood pressure (DBP) compared to non-suicide attempters. We further identified CGI score, TSH, TPOAb, and DBP as influential factors for recent suicide attempts in MDD individuals who had moderate-to-severe anxiety symptoms. These indexes could distinguish between suicide attempts and non-suicide attempts in MDD patients with moderate-to-severe anxiety symptoms. CONCLUSIONS: Our findings mainly indicated a high prevalence of recent suicide attempts in MDD patients with moderate-to-severe anxiety. Several clinical correlates, thyroid hormones, and blood pressure might contribute to recent suicide attempts in MDD patients with moderate-to-severe anxiety symptoms.