We theoretically study the Andreev reflection processes in T-shaped double quantum dots (TDQDs) in terms of the nonequilibrium Green’s function technique. It is considered that one of the TDQDs is coupled to the Majorana zero modes (MZMs) prepared at the ends of a topological superconductor nanowire and simultaneously to one metallic and one superconductor lead. Our numerical results show that the in-gap state originated from the proximity effect due to the superconductor lead being sensitive to the existence of MZMs. The local density of states (LDOS) of the spin-up electrons, which are directly coupled to the MZMs, has a Fano antiresonance at the in-gap state. Meanwhile, the local density of the spin-down electrons, which are free from hybridization to the MZMs due to the helical property of the latter, has a Lorentzian resonance at the same state. The differential Andreev conductance of both the spin directions exhibits Fano-type resonance but with different tails’ directions. The in-gap state is also significantly influenced by the energy level and coupling strength of the other side-coupled dot, as well as the MZM–MZM interaction.