Objective: Anxiety symptoms are common in older adults with depression, but whether severe anxiety is associated with poorer outcomes of depression is unknown. The objective of the present study was to examine the association between severity of anxiety and severity of depression and physical illness, suicidality, and physical and cognitive functioning in older adults with depression. Methods: We included 218 older adults with diagnoses of a depressive disorder according to the ICD-10 criteria; their mean age (SD) was 75.6 (7.2), and 67.0% were women. The Geriatric Anxiety Inventory (GAI) was used to measure the severity of anxiety symptoms. The Montgomery-Aasberg Depression Rating Scale (MADRS) was used to assess the severity of depression. We obtained information on the level of functioning with the Physical Self-Maintenance Scale (PSMS) by Lawton and Brody and on cognition with the Mini-Mental State Examination (MMSE) and the Clock-Drawing Test (CDT). Physical health was determined based on information regarding falls and weight loss and an assessment of each patient’s general medical condition. The treating physician evaluated current suicidality in a comprehensive and standardized way. Results: Higher GAI scores were significantly associated with scores on the MADRS (β = 0.233, p = 0.002) and suicidality (β = 0.206, p = 0.006). Levels of physical or cognitive functioning were not associated with the GAI score. Conclusion: The severity of anxiety symptoms was associated with the severity of depression and suicidality in older adults with depressive disorders. The results could indicate a need to focus greater attention on the treatment of anxiety and suicidality in older patients with depression.