Background: Generalized anxiety disorder (GAD) is commonly co-morbid with major depressive disorder (MDD) and is associated with greater functional impairment and poorer treatment outcomes than MDD alone. However, studies on treatment with drugs for depression in patients with MDD and co-morbid GAD are limited. Aims: To examine the effectiveness of vortioxetine treatment in patients with MDD and co-morbid GAD in a subgroup analysis of the real-world RELIEVE study. Methods: The analysis included outpatients diagnosed with MDD and co-morbid GAD who initiated vortioxetine treatment at their physician’s discretion in the 24-week, observational RELIEVE study. Primary outcome was patient functioning (Sheehan Disability Scale (SDS)) after 12 and 24 weeks of vortioxetine treatment; secondary outcomes included depression severity (9-item Patient Health Questionnaire (PHQ-9)), cognitive symptoms (5-item Perceived Deficits Questionnaire – Depression (PDQ-D-5)) and cognitive performance (Digit Symbol Substitution Test (DSST)). Results: Overall, 180 patients with MDD and co-morbid GAD were included in the analysis. Following vortioxetine initiation, clinically significant improvements in patient functioning (SDS total score) were observed at week 12 (least-squares (LS) mean reduction from baseline, 7.5 points), sustained through week 24 (9.2 points) (both p < 0.0001). LS mean PHQ-9, PDQ-D-5 and DSST scores improved by 7.9, 4.8 and 7.4 points at week 24, respectively (all p < 0.0001 vs baseline). Adverse events were reported by 33.9% of patients (most commonly nausea, 13.3%). Conclusions: In routine clinical practice, vortioxetine was associated with clinically meaningful, sustained improvements in functioning, and depressive and cognitive symptoms, in patients with MDD and co-morbid GAD. Clinical Trials Registry Name and Identifier: Real-life Effectiveness of Vortioxetine in Depression (RELIEVE) (NCT03555136) https://clinicaltrials.gov/ct2/show/NCT03555136