The diagnosis of anxious depression is presently inconsistent. The many different definitions of anxious depression have complicated its diagnosis, leading to clinical confusion and inconsistencies in the literature. This article reviewed the extant literature in order to identify the varying definitions of anxious depression, which were then compared using Feighner's diagnostic criteria. Notably, these suggest a different clinical picture of patients with anxious depression. For instance, relying on The International Classification of Diseases (ICD) or Diagnostic and Statistical Manual of Mental Disorders (DSM) diagnoses yields a clinical picture of a comparatively mild or transient disorder; in contrast, using dimensional criteria such as DSM criteria combined with additional rating scales—most commonly the anxiety somatization factor score from the Hamilton Depression Rating Scale (HAM-D)—yields a more serious clinical picture. The evidence reviewed here suggests that defining anxious depression in a dimensional manner may be the most useful and clinically relevant way of differentiating it from other types of mood and anxiety disorders, and of highlighting the most clinically significant differences between patients with anxious depression versus depression or anxiety alone.