An overlap frequently occurs between major depression disorder (MDD) and generalized anxiety disorder (GAD). Aim of this study was to assess cortical and white matter (WM) alterations in MDD patients with or without GAD comorbidity. Seventy-one MDD patients and 71 controls were recruited. All subjects underwent T1-weighted and diffusion tensor (DT)/MRI. MRI metrics of cortical thickness and WM integrity were obtained from atlas-based cortical regions and the interhemispheric and major long association WM tracts. Between-group MRI comparisons and multiple regressions with clinical scale scores were performed. Compared to controls, both MDD and MDD-GAD patients showed a cortical thinning of the middle frontal cortex bilaterally, left medial frontal gyrus and frontal pole. Compared to controls and MDD patients, MDD-GAD cases also showed a thinning of the right medial orbitofrontal and fusiform gyri, and left temporal pole and lateral occipital cortices. Compared to controls, MDD patients showed DT MRI abnormalities of the right parahippocampal tract and superior longitudinal fasciculus bilaterally, while no WM alterations were found in MDD-GAD. In all patients, brain abnormalities were related with symptom severity. MDD and MDD-GAD share a common pattern of cortical alterations located in the frontal regions. However, while both the cortex and WM integrity are affected in MDD, only the former is affected in MDD-GAD. These findings support the notion of MDD-GAD as a distinct clinical entity, providing insights into patient vulnerability for specific networks as well as into patient resilience factors reflected by the integrity of other cerebral circuits.