The associated factors of suicide attempts in patients with major depressive disorder (MDD) comorbid with anxiety remains unclear. To the best of our knowledge, this is the first study with a large sample size that examines the risk factors of suicide attempts in first-episode drug-naive (FEND) MDD patients comorbid with anxiety and includes clinical correlates, metabolic parameters, and thyroid hormone levels. A total of 1718 FEDN MDD patients were enrolled. The Hamilton Depression Scale (HAMD), Hamilton Anxiety Scale (HAMA), and Positive and Negative Syndrome Scale (PANSS) were used to assess the symptoms of patients. Metabolic parameters and thyroid hormone levels were measured. The prevalence of suicide attempts in MDD patients comorbid anxiety symptoms was 24.28%, which was 9.51 times higher than that in MDD patients without anxiety symptoms (3.25%). Compared to non-attempters, MDD patients with anxiety symptoms who attempted suicide scored higher on HAMD and HAMA, and had higher systolic blood pressure, higher levels of thyroid stimulating hormone (TSH), and thyroid peroxidases antibody (TPOAb), which were also correlated with suicide attempts in MDD patients comorbid anxiety symptoms. The combination of HAMA score, HAMD score, and TSH could differentiate suicide attempters from non-suicide attempters. Further, the age of onset, illness duration, BMI, TSH, and TPOAb were associated with the times of suicide attempts in MDD patients comorbid anxiety symptoms. Our results demonstrate high prevalence of suicide attempts in MDD patients comorbid anxiety symptoms. Several clinical correlates, metabolic parameters, and thyroid hormones function contribute to the suicide attempts in MDD patients comorbid anxiety symptoms.