Objective: This work was to explore the rhythm of adrenocorticotropic hormone (ACTH) and cortisol in patients with depression and anxiety and their effects on mental state. In this work, with depression complicated with anxiety patients as the A-MDD group (n = 21), and depression without anxiety symptoms as the NA-MDD group (n = 21). Firstly, data features were extracted according to the electroencephalo-graph (EEG) data of different patients, and a DR model was constructed for diagnosis. The Hamilton Depression Scale 24 (HAMD-24) was employed to evaluate the severity, and the ACTH and cortisol levels were detected and compared for patients in the A-MDD group and NA-MDD group. In addition, the psychological status of the patients was assessed using the Toronto Alexithymia Scale (TAS). As a result, the AI-based DR model showed a high recognition accuracy for depression. The HAMD-24 score in the A-MDD group (31.81 ± 5.39 points) was statistically higher than the score in the NA-MDD group (25.25 ± 5.02 points) (P < 0.05). No visible difference was found in ACTH levels of patients in different groups (P > 0.05). The incidence of cortisol rhythm disorder (CRD) in the A-MDD group was much higher (P < 0.05). The differences in TAS scores between the two groups were significantly statistically significant (P < 0.01). In conclusion, the AI-based DR Model achieves a more accurate identification of depression; depression with or without anxiety has different effects on the mental state of patients. CRD may be one of the biological markers of depression combined with anxiety.