About half of patients with major depressive disorder (MDD) have clinically meaningful levels of anxiety. Greater severity of depressive illness and functional impairment has been reported in patients with high levels of anxiety accompanying depression. The pathogenesis for the comorbidity was still unsure. This study aimed to determine whether there would be molecular link for overlapped pathogenesis between MDD and anxiety disorder. Using long noncoding RNA (lncRNA) microarray profiling and reverse transcription polymerase chain reaction, six downregulated lncRNAs and three upregulated lncRNAs had been identified to be the potential biomarkers for MDD and generalized anxiety disorder (GAD), respectively. Then, the lncRNAs were cross-checked in forty MDD patients, forty GAD patients, and forty normal controls. Compared with normal controls, six downregulated MDD lncRNAs also had a significantly lower expression in GAD ( < 0.01), and there was no significant difference between GAD and MDD ( > 0.05). In addition, three upregulated GAD lncRNAs had no different expression in MDD ( > 0.05), but there was remarkable difference between MDD and GAD ( < 0.01). These results indicated that lncRNAs in peripheral blood mononuclear cells could be potential molecular link between MDD and GAD, which added new evidence to the overlapped pathogenesis and suggested that anxious depression could be a valid diagnostic subtype of MDD.