Background: The coexistence of subclinical hypothyroidism (SCH) and depression has been intensively examined in the patients receiving thyroxine or antidepressant treatment. This study aimed to investigate the prevalence and clinical correlates of severe SCH in Chinese first-episode drug naive patients with major depressive disorder (MDD). Methods: Using a cross-sectional design, we recruited a total of 1706 MDD patients. Depressive symptoms were evaluated using the 17-item Hamilton Depression Rating Scale (HAMD). Severity of anxiety and psychiatric symptoms were evaluated by the Hamilton Anxiety Rating Scale (HAMA) and the Positive and Negative Syndrome Scale (PANSS), respectively. Serum thyroid function parameters were measured by a chemiluminescence immunoassay. Based on the serum thyroid stimulating hormone (TSH) level, SCH was further divided into mild (TSH < 10 mIU/L) and severe SCH (TSH >= 10 mIU/L). Results: More patients with severe SCH had severe anxiety, psychotic symptoms, suicide attempts (all p < 0.001), compared with those without severe SCH. Logistic regression showed that suicide attempts and psychiatric symptoms were associated with severe SCH (both p < 0.001). Multiple linear regression showed that age (p < 0.05), BMI (p < 0.001), HAMD score (p < 0.001), HAMA score (p < 0.001), PANSS positive subscore (p = 0.001) and CGI score (p = 0.001) were associated with TSH levels. Conclusion: Our findings suggest that suicide attempts and psychiatric symptoms may be associated with severe SCH. Moreover, severe anxiety, depressive and psychotic symptoms, as well as older age and higher BMI are possibly related to elevated TSH levels.