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Anxious depression is a common, distinct clinical subtype of major depressive disorder (MDD). This review summarizes current neurobiological knowledge regarding anxious depression. Peer-reviewed articles, published January 1970 through September 2012, were identified via PUBMED, EMBASE, and Cochrane Library, using the following key words: anxious depression electroencephalography (EEG), anxious depression functional magnetic resonance imaging (fMRI), anxious depression genetics, anxious depression neurobiology, and anxious melancholia neurobiology. Despite a general dearth of neurobiological research, the results suggest that anxious depression—when defined either syndromally or dimensionally—has distinct neurobiological findings that separate it from nonanxious depression. Structural neuroimaging, EEG, genetics, and neuropsychiatric studies revealed differences in subjects with anxious depression compared to other groups. Endocrine differences between individuals with anxious depression and those with nonanxious depression have also been noted, as evidenced by abnormal responses elicited by exogenous stimulation of the system. Despite these findings, heterogeneity in the definition of anxious depression complicates the results. Because exploring the neurobiology of this depressive subtype is important for improving diagnosis, prognosis, and treatment, enrichment strategies to decrease heterogeneity within the field should be employed for future research.