Background Anxiety is a common comorbidity in major depressive disorder (MDD) that has been studied extensively in the past. However, few studies have explored anxiety in drug naive (FEDN) patients with MDD and those presenting with a first episode. The objective of this current study was to examine the prevalence and risk factors of anxiety in FEDN patients with MDD in order to understand the relationship between MDD and anxiety in the acute early phase and provide important implications for therapeutic interventions. Methods: A total of 1718 FEDN patients with MDD were recruited in this cross-sectional study. Their anthropometric and clinical data, including suicide attempt and psychotic symptom, were collected. The Hamilton depression scale (HAMD) and Hamilton anxiety scale (HAMA) were used to evaluate depression and anxiety for all the patients in this study. Results: Overall, we found that the prevalence of anxiety in FEDN MDD patients was 80.3%. Correlation analysis showed that anxiety was associated with suicide attempt and psychotic symptom in FEDN patients with MDD. The rate of suicide attempt and psychosis in above patients with anxiety was 24.3% and 12.3%, respectively. Furthermore, stepwise regression analysis showed that suicide attempt and psychotic symptom were significant predictors for anxiety in FEDN patients with MDD. Conclusions: Our study showed that the prevalence of comorbid anxiety in FEDN patients with MDD is very high. We also found that two clinical variables, suicide attempt and psychosis, are risk factors for comorbid anxiety in FEDN patients with MDD.