Background and objectives: This study evaluated the association between self-reported anxiety and objective/subjective measures of cognitive performance in adults with Major Depressive Disorder (MDD). Methods: Acutely depressed subjects with recurrent MDD (n = 100) and age-, sex-, and education-matched healthy controls (HC; n = 100) between the ages of 18 and 65 completed the cross-sectional validation study of the THINC-integrated tool (THINC-it; ClinicalTrials.gov: NCT02508493). Objective cognitive performance was assessed using the THINC-it, and subjective cognitive impairment with the Perceived Deficits Questionnaire for Depression–5-item. Subjects also completed the Generalized Anxiety Disorder-7-item (GAD-7) questionnaire. Results: Subjects with MDD reported significantly more anxiety symptoms, as assessed by the GAD-7, compared to HC (p < 0.001). Linear regression analysis determined that anxiety symptoms significantly accounted for 70.4% of the variability in subjective cognitive impairment, adjusting for depression severity. Moreover, subjects’ ratings of the difficulties caused by their anxiety were reported as significantly more severe among subjects with MDD when compared to HC (p < 0.001). Likewise, greater self-reported difficulties with anxiety significantly predicted 57.8% of the variability in subjective cognitive impairment, adjusting for depression severity. Neither anxiety symptoms nor impairment due to anxiety symptoms predicted objective cognitive performance. Limitations: Subjects were not prospectively verified to have a clinical diagnosis of GAD. Rather, this study examined the relationships between symptoms of generalized anxiety, assessed using a brief screening tool, and subjective and objective cognitive function. Conclusions: Results from the current study indicate that adults with MDD and high levels of self-reported anxiety are significantly more likely to report experiencing subjective cognitive dysfunction.