The recognition of anxiety disorders in depressed patients has potential clinical significance because their presence predicts poorer outcome and may influence treatment selection. In routine clinical settings, an unstructured diagnostic interview is typically used to assess patients at the initiation of treatment. Unstructured interviews, however, may result in missed diagnoses, with potential negative clinical consequences. The goals of the present study were to examine whether anxiety disorders are less frequently identified using a routine unstructured clinical evaluation than a semi-structured diagnostic interview in patients with a principal diagnosis of major depressive disorder (MDD), and to determine patients' desire for treatment for comorbid anxiety disorders. Psychiatric outpatients with MDD were evaluated with either a semi-structured or an unstructured diagnostic interview. Current DSM-IV anxiety disorder diagnoses were compared in the two, nonoverlapping, groups of depressed psychiatric outpatients seen in the same practice setting. Patients with comorbid anxiety disorders who were interviewed with the semi-structured interview were asked if they wanted treatment to address their anxiety symptoms. Individuals interviewed with the semi-structured interview were diagnosed with significantly more current anxiety disorders than individuals who were assessed with an unstructured interview. There was variability in patients' desire for treatment of the different anxiety disorders, though for each disorder the majority of patients wanted treatment to address the anxiety symptoms. In psychiatric outpatients with a principal diagnosis of MDD psychiatrists underrecognize anxiety disorder comorbidity for which patients want treatment.