Patients with depression often also present symptoms of anxiety. First-line pharmacotherapy of comorbid symptoms of depression and anxiety is often a combination therapy of an antidepressant agent, which is combined with benzodiazepines. However, benzodiazepines pose the drawbacks of being associated with cognitive and motor impairments and hold a significant risk for dependence. For some patients, benzodiazepines are contraindicated or patients refuse to take them. Therefore, alternative therapy strategies for the acute treatment of anxiety symptoms in depressed patients are urgently needed. A selective Medline/Pubmed search with focus on acute pharmacological treatment strategies for anxiety and agitation in depressed patients was undertaken. In the light of the paucity of studies in this field, positive effects could be assumed for quetiapine, olanzapine, olanzapine-fluoxetine combination, pregabaline and silexan.