The aim of this study was to explore if the divergent results regarding attentional functions in patients with mood disorders are due to selective impairments in higher level or more basic and distinctive attentional subcomponents. We compared outpatients with current major depressive disorders (MDD; n = 37) and MDD with comorbid anxiety disorder (MDDA; n = 24) with healthy controls (n = 92) on Stroop and Attentional Network Test (ANT). The current data indicate that significant impairment in attentional functions corresponds to the presence of MDD and MDDA. MDDA displayed significantly lower performance on the Stroop variables, and MDD were significantly impaired in the alerting function in ANT. These results show impairments on different levels of attention in mood disorders. MDDA show impairments on higher level executive attention functions, whereas MDD display deficits at the basic attentional level. These findings suggest that including comorbid anxiety disorder in MDD is important for future research.