Objectives. Co-morbidity between depression and anxiety disorders is common. In this study we define a quantitative measure of anxiety by summating four anxiety items from the SCAN interview in a large collection of major depression (MDD) cases to identify genes contributing to this complex phenotype. Methods. A total of 1522 MDD cases dichotomised according to those with at least one anxiety item scored (n = 1080) and those without anxiety (n = 442) were analysed, and also compared to 1588 healthy controls at a genome-wide level, to identify genes that may contribute to anxiety in MDD. Results. For the quantitative trait, suggestive evidence of association was detected for two SNPs, and for the dichotomous anxiety present/absent ratings for three SNPs at genome-wide level. In the genome-wide analysis of MDD cases with co-morbid anxiety and healthy controls, two SNPs attained P values of < 5 × 10-6. Analysing candidate genes, P values ≤ 0.0005 were found with three SNPs for the quantitative trait and three SNPs for the dichotomous trait. Conclusions. This study provides an initial genome-wide assessment of possible genetic contribution to anxiety in MDD. Although suggestive evidence of association was found for several SNPs, our findings suggest that there are no common variants strongly associated with anxious depression.