Background: Depressed patients often present with comorbid anxiety and/or substance use disorder. This report compares the four groups defined by the disorders (anxiety disorder, substance use disorder, both, and neither) in terms of baseline clinical and sociodemographic features, and in terms of outcomes following treatment with citalopram (a selective serotonin reuptake inhibitor). Methods: The Sequenced Treatment Alternatives to Relieve Depression (STAR*D) trial enrolled 2838 outpatients with non-psychotic major depressive disorder (MDD) from 18 primary and 23 psychiatric care clinics. Clinical and sociodemographic features were assessed at baseline. These baseline features and the treatment outcomes following treatment with citalopram were compared among the four groups. Results: Participants with non-psychotic MDD and comorbid anxiety and/or substance use disorder showed several distinctive baseline sociodemographic and clinical features. They also showed greater depression severity; length of illness; likelihood of anxious, atypical or melancholic features; more intolerance/attrition; and worse remission/response outcomes with treatment. Participants with either anxiety or substance use disorder showed outcomes generally intermediate between those with both and those with neither. Conclusions: Comorbid anxiety and/or substance use disorder are clinically identifiable, and their presence may define distinct MDD subgroups that have more problems and worse pharmacological treatment outcomes. They may benefit from more aggressive, multi-faceted treatment and psychosocial rehabilitation targeted at reducing their psychological comorbidity and functional impairment. © 2008 Elsevier Ireland Ltd.