As a core symptom of major depressive disorder (MDD), previous magnetic resonance studies have demonstrated that MDD with anhedonia may exhibit distinctive brain structural and functional alterations. Nevertheless, the impact of anhedonia on synchronized alterations in the structure and function of brain regions in MDD remains uncertain. A total of 92 individuals were enrolled in the study, including 29 MDD patients with anhedonia, 33 MDD patients without anhedonia, and 30 healthy controls (HCs). All subjects underwent structural and resting-state functional magnetic resonance imaging (MRI) scans. The structure-function coupling of cortical and subcortical regions was constructed by using the obtained structural and functional data to quantify the distributional similarity of gray matter volume (GMV) and amplitude of low-frequency fluctuations (ALFFs). Analysis of covariance (ANCOVA) was used to compare differences in structure-function coupling among the three groups. Partial correlation analyses were conducted to identify relationships between structure-function coupling and clinical features. Finally, receiver operating characteristic (ROC) curve and support vector machine (SVM) analysis were employed to verify the capacity to distinguish between MDD with anhedonia and MDD without anhedonia, MDD with anhedonia and HCs, and MDD without anhedonia and HCs. The ANCOVA revealed significant differences in structure-function coupling among three groups in the bilateral precentral gyrus (PrG), right insular gyrus (INS), right cingulate gyrus (CG), right thalamus (Tha), left superior temporal gyrus (STG), and left middle temporal gyrus (MTG). Compared to HCs, both MDD groups showed reduced coupling in the right INS, bilateral PrG, while increased coupling in the right CG. Additionally, MDD with anhedonia showed reduced coupling in the right Tha, right PrG, and left MTG, while increased coupling in the left STG, compared to the other two groups. Furthermore, ROC analyses indicated that structure-function coupling in the right PrG, right CG, and left MTG exhibited the greatest capacity to distinguish between the following groups: MDD with anhedonia from HCs, MDD without anhedonia from HCs, and MDD with anhedonia from MDD without anhedonia. The combined metrics demonstrated greater diagnostic value in two-by-two comparisons. The present findings highlight that altered structure-function synchrony in the frontal, temporal lobes, and Tha may be implicated in the development of symptoms of anhedonia in MDD patients. Altered structure-function coupling in the aforementioned brain regions may serve as a novel neuroimaging biomarker for MDD with anhedonia.