The Psychiatric Diagnostic Screening Questionnaire (PDSQ) is a brief, psychometrically strong, questionnaire designed to screen for common Axis I disorders. In the present report, we examine the ability of the PDSQ to identify anxiety disorders in psychiatric outpatients with a principal diagnosis of major depressive disorder. Eight hundred patients presenting for treatment were evaluated with the Structured Clinical Interview for DSM-IV (SCID) after completing the PDSQ. Two hundred ninety-five patients had a principal diagnosis of major depressive disorder. The mean sensitivity and negative predictive value of the anxiety disorder subscales was 88.5% and 96.5% when all patients were considered, and 88.2% and 95.6% when only depressed patients were examined. The PDSQ's anxiety disorder subscales have high sensitivity and negative predictive value thereby indicating that the scale could function well as a screening instrument in depressed patients.