Major depressive disorder (MDD) is frequently co-morbid with anxiety disorders. The co-morbid state has poorer functional outcomes and greater resistance to first line treatments, highlighting the need for novel treatment targets. This systematic review examined differences in resting-state brain connectivity associated with anxiety comorbidity in young- and middle-aged adults with MDD, with the aim of identifying novel targets for neuromodulation treatments, as these treatments are thought to work partly by altering dysfunctional connectivity pathways. Twenty-one studies met inclusion criteria, including a total of 1292 people with MDD. Only two studies included people with MDD and formally diagnosed co-morbid anxiety disorders; the remainder included people with MDD with dimensional anxiety measurement. The quality of most studies was judged as fair. Results were heterogeneous, partly due to a focus on a small set of connectivity relationships within individual studies. There was evidence for dysconnectivity between the amygdala and other brain networks in co-morbid anxiety, and an indication that abnormalities of default mode network connectivity may play an underappreciated role in this condition.