Background: Major depressive disorder (MDD) patients with comorbid anxiety symptoms showed obvious cognitive deficits. However, it remains unclear whether comorbid anxiety symptoms will make a specific contribution to cognitive deficits in MDD. Methods: Executive function, processing speed, attention and memory were assessed in 162 MDD patients, and 142 healthy controls (HCs) by a comprehensive neuropsychological battery. 14-item Hamilton Anxiety Rating Scale (HAM-A) was used for anxiety symptoms and MDD patients with HAM-A total score >14 were classified into MDD with comorbid anxiety (MDDA) group. A multivariate analysis of covariance and regression models was conducted to evaluate the effects of anxiety symptoms on cognitive deficits. Results: There were no significantly differences in all 4 cognitive domains between MDD alone and MDDA patients (all p < 0.05). In MDDA subgroup, HAM-A total score contributed to executive function and memory (both p < 0.05), while HAM-A psychic symptoms contributed to all 4 domains (all p < 0.05). Moreover, after controlling for the severity of depression, either anxiety symptoms shown as HAMA total score or psychic anxiety symptoms only contributed significantly to the executive function performance. Limitations: The cross-sectional design made it hard to acquire a cognitive performance trajectory accompanied by the fluctuations in anxiety symptoms. Conclusion: Our findings suggest that there is no significant difference in cognitive performance between MDD alone and MDDA patients. However, comorbid anxiety, especially psychic anxiety may contribute to extensive cognitive deficits in MDDA patients. Notably, anxiety symptoms only independently triggered executive dysfunction when eliminating effect of the severity of depression.