Previous research on major depressive disorder (MDD) has largely focused on cognitive biases and abnormalities in cortico-limbic circuitry during emotional face processing. However, it remains unclear whether these abnormalities start at early perceptual stages via subcortical pathways and how comorbid social anxiety influences this process. Here, we investigated subcortical mechanisms in emotional face processing using a psychophysical method that measures monocular advantage (i.e., superior discrimination performance when two stimuli are presented to the same eye than to different eyes). Participants included clinical patients diagnosed with MDD (n = 32), patients with MDD comorbid with social anxiety (comorbid MDD-SAD, n = 32), and a control group of healthy participants (HC, n = 32). We assessed monocular advantage across different emotions (neutral, sad, angry) and among groups. Results indicated that individuals with MDD showed a stronger monocular advantage for sad expressions compared to neutral and angry expressions. In contrast, HC and comorbid MDD-SAD groups showed a greater monocular advantage for neural over negative expressions. Cross-group comparisons revealed that MDD group had a stronger monocular advantage for sad expressions than both HC and comorbid MDD-SAD groups. Additionally, self-reported depressive symptoms were positively correlated with monocular advantage for sad expressions, while social anxiety symptoms were negatively correlated with monocular advantage for negative expressions. These findings suggest atypical early perceptual processing of sadness in individuals with MDD via subcortical mechanisms, with comorbid social anxiety potentially counteracting this effect. This study may inform novel interventions targeting sensory processing and expand beyond cognitive bias modification.