Comorbid anxiety and depression predict a poorer prognosis than either disorder occurring alone. It is unclear whether self-reported anxiety symptom scores identify patients with depression in need of more intensive mental health services. This study evaluated how anxiety symptoms predicted treatment receipt and outcomes among patients with new depression diagnoses in the Veterans Health Administration (VHA). Electronic medical record data from 128,917 VHA patients (71.6% assessed for anxiety, n = 92,237) with new diagnoses of depression were analyzed to examine how Generalized Anxiety Disorder-7 (GAD-7) scores predicted psychotropic medication prescriptions, psychotherapy receipt, acute care service utilization, and follow-up depression symptoms. Patients who reported severe symptoms of anxiety were significantly more likely to receive adequate acute phase and continuation phase antidepressant treatment, daytime anxiolytics/sedatives, nighttime sedative/hypnotics, and endorse more severe depression symptoms and suicidal ideation at follow-up. Patients who reported severe symptoms of anxiety at baseline were less likely to initiate psychotherapy. The GAD-7 may help identify depressed patients who have more severe disease burden and require additional mental health services.