Among MDD participants with anxiety:•Baseline anxiety severity predicts anxiety but not depression outcomes.•Early improvements in anxiety and depression have moderate to high PPV and NPV.•Early anxiety improvement is higher than depression in PPV for anxiety outcomes.•Both types of early improvement have similar NPVs for depression outcomes. Although anxiety symptoms frequently co-occur with major depressive disorder, few studies examined the prediction of treatment outcomes among participants with anxious depression receiving antidepressants. We investigated whether baseline anxiety, and early improvements in anxiety and depression symptoms predict eventual treatment outcomes. 111 participants with anxious depression, defined using ≥ 10 on GAD-7, received escitalopram (10–20 mg) for 8 weeks. Covariate-adjusted logistic regression was conducted to examine the impact of baseline anxiety, and to assess the extent week 2 anxiety (GAD-7) and depression (QIDS-SR) percentage improvement associates with week 8 anxiety (GAD-7) and depression (MADRS) response/remission. Optimum improvement thresholds were identified using receiving-operating-curve analysis and their predictive values assessed. Greater percentage improvement in anxiety and depression after the first 2 weeks of treatment significantly increased odds of achieving week 8 anxiety and depression response/remission (OR:1.01–1.04, p<0.05). Early anxiety (68.4%/87.2%) and depression (52.2%/83.0%) improvement thresholds around 30 and 40% provided moderate to high positive predictive value (PPV) for predicting week 8 anxiety response/remission, as well as moderate to high negative predictive value (NPV) for predicting week 8 depression response/remission (anxiety:70.8%/91.7%; depression:72.2%/90.1%). Baseline anxiety severity predicted anxiety outcomes at weeks 2 and 8. Trial lacked placebo group. In anxious depression, early improvement in anxiety may be better than depression in predicting anxiety outcomes, with similar or higher PPVs. Both improvement types perform similarly in predicting depression outcomes, with the lack of improvement predictive of non-response and non-remission. Finally, baseline anxiety predicts eventual anxiety but not depression outcomes.