Concurrent anxiety is frequent in major depressive disorder and a shared pathophysiological mechanism between anxiety and other depressive symptoms is plausible. The serotonin 4 receptor (5-HT₄R) has been implicated in both depression and anxiety. This is the first study to investigate the association between the cerebral 5-HT₄R binding and anxiety in patients with depression before and after antidepressant treatment and the association to treatment response. Ninety-one drug-free patients with depression were positron emission tomography scanned with the 5-HT₄R ligand [¹¹C]-SB207145. Depression severity and concurrent anxiety was measured at baseline and throughout 8 weeks of antidepressant treatment. Anxiety measures included four domains: anxiety/somatization factor score; Generalized Anxiety Disorder 10-items (GAD-10) score; anxiety/somatization factor score ≥7 (anxious depression) and syndromal anxious depression. Forty patients were rescanned at week 8. At baseline, we found a negative association between global 5-HT₄R binding and both GAD-10 score (p < 0.01) and anxiety/somatization factor score (p = 0.06). Further, remitters had a higher baseline anxiety/somatization factor score compared with non-responders (p = 0.04). At rescan, patients with syndromal anxious depression had a greater change in binding relative to patients with non-syndromal depression (p = 0.04). Concurrent anxiety in patients with depression measured by GAD-10 score and anxiety/somatization factor score is negatively associated with cerebral 5-HT₄R binding. A lower binding may represent a subtype with reduced natural resilience against anxiety in a depressed state, and concurrent anxiety may influence the effect on the 5-HT₄R from serotonergic antidepressants. The 5-HT₄R is a promising neuroreceptor for further understanding the underpinnings of concurrent anxiety in patients with depression.