Major depressive disorder causes significant dysfunction and disability. Many of depressed patients tend to have cormobid anxiety disorders, substance use disorders and personality disorders, and so on. In this study, we reviewed researches about the effects of comorbid anxiety disorder, substance use disorder on depressive symptoms, progress, treatment, etc. In addition, the latest knowledges related to treatment was reviewed. If the symptoms of anxiety disorder coexist, They leads to the deterioration of the course and has an adverse effect on treatment response. Comorbid substance use disorder, such as alcohol dependence, causes worsening of symptoms and progression, and a loss of therapeutic response. Therapeutic clinical guidelines and instructions to comorbid psychiatric disorders on major depressive disorder was not established clearly, but consensus-based or evidence-based studies will be necessary for treatment for comorbid psychiatric disorders on major depressive disorder.