Abstract Background Anhedonic features within major depressive disorder (MDD) have been associated with worse course and outcome and may predict non-response to treatment. However a detailed clinical profile of anhedonia in MDD is still lacking. Materials and Methods One thousand two hundred ninety-four patients with MDD were selected from the cross-sectional European multicenter Group for the Study of Resistant Depression (GSRD) study. Anhedonia was assessed through the Montgomery-Åsberg Depression Rating Scale anhedonia item “inability to feel”. Clinical and demographic features were then analyzed. Results The presence of anhedonia related to a distinct demographical (living alone) and clinical profile (thyroid diseases, diabetes, suicide risk, high number of previous depressive episodes, more severe MDD and more frequent inpatients status). Furthermore, anhedonia was associated with non-response to treatment and treatment resistance, even after adjusting for confounding variables. Conclusion Our findings support the role of anhedonia as a modulating feature of MDD, being associated with a more severe depression profile. Moreover, anhedonic features are independent predictors of poor treatment response.