Although depression with anxious distress appears to be a clinically relevant subtype of major depressive disorder (MDD), whether it involves specific pathophysiology remains unclear. Inflammation has been implicated, but not comprehensively studied. We examined within a large MDD sample whether anxious distress and related anxiety features are associated with differential basal inflammation and innate cytokine production capacity. Data are from 1078 MDD patients from the Netherlands Study of Depression and Anxiety. In addition to the DSM-5 anxious distress specifier, we studied various dimensional anxiety scales (e.g. Inventory of Depressive Symptomatology anxiety arousal subscale [IDS-AA], Beck Anxiety Inventory [BAI], Mood and Anxiety Symptoms Questionnaire Anxious Arousal scale [MASQ-AA]). The specifier was constructed using five self-report items from the IDS and BAI. Basal inflammatory markers included C-reactive protein (CRP), interleukin (IL)-6 and tumor necrosis factor (TNF)-α. Innate production capacity was assessed by 13 lipopolysaccharide (LPS)-stimulated inflammatory markers. Basal and LPS-stimulated inflammation index scores were created. Basal inflammation was not associated with anxious distress (prevalence = 54.3%) in MDD patients, except for a modest positive association for BAI score. However, anxious distress was associated with higher LPS-stimulated levels (interferon-γ, IL-6, monocyte chemotactic protein (MCP)-1, macrophage inflammatory protein (MIP)-1α, matrix metalloproteinase (MMP)-2, TNF-α, LPS-stimulated index). Other anxiety indicators (anxious distress specifier score, BAI, MASQ-AA) were also associated with increased innate production capacity. Within a large MDD sample, the anxious distress specifier was associated with increased innate cytokine production capacity but not with basal inflammation. Results from dimensional anxiety indicators largely confirm these results. These findings provide new insight into the pathophysiology of anxious depression.