Background: Anxiety frequently occurs with major depressive disorder (MDD) but to a different extent in the various subtypes. Psychotic major depression (PMD) is a severe subtype of MDD that is under-identified and under-studied. We investigated the prevalence and related risk factors of anxiety in PMD patients. Methods: A total of 1718 first episode and drug naive MDD patients were recruited. Measures included the Hamilton Depression Scale (HAMD), Clinical Global Impression-Severity scale (CGI-S), Hamilton Anxiety Scale (HAMA), and positive symptom scale of the Positive and Negative Syndrome Scale (PANSS), thyroid hormone levels, and metabolic parameters. Results: 171 of the entire MDD study sample met the criteria for the PMD subtype. The prevalence of severe anxiety was much higher in PMD patients (22.8 %) than in non-PMD patients (0.4 %) (chi 2 = 294.69, P < 0.001, OR = 75.88, 95 % CI = 31.55-182.52). Compared to PMD patients without severe anxiety, PMD patients with severe anxiety had higher HAMD score, CGI-S score, positive symptom subscale score, suicide attempts, blood pressure, thyroid-stimulating hormone (TSH), anti-thyroglobulin (TgAb), and thyroid peroxidases antibody (TPOAb) levels. Furthermore, logistic regression analysis indicated that HAMD score and TSH levels were associated with severe anxiety in PMD patients. Limitations: Our cross-sectional study cannot explain the causal relationship between anxiety severity and risk factors in PMD patients. Conclusions: Our results suggest that PMD patients are more likely to experience severe anxiety than non-PMD patients. The severity of depression and TSH levels are independent risk factors for anxiety in PMD patients.