Background Many patients with major depressive disorder (MDD) have been found to have psychotic symptoms. However, few studies have reported the prevalence of comorbid psychotic symptoms in first-episode drug naive (FEDN) MDD patients. This study was to investigate the prevalence of psychotic symptoms and related risk factors in a large sample size of FEDN MDD patients in a Chinese population. Methods A total of 573 patients with diagnosis of MDD at their first episode were recruited with their demographic and clinical data. Positive scale of the Positive and Negative Syndrome Scale was utilized for psychotic symptoms, Hamilton Anxiety Rating Scale (HAMA) for anxiety symptoms, and Hamilton Depression Rating Scale (HAMD) for depressive symptoms. Results The prevalence of psychotic symptoms in these MDD patients was 9.8%. MDD patients with psychotic symptoms had significantly higher HAMD and HAMA total scores than those without psychotic symptoms (both p < .001). A strong association was found between psychotic MDD and anxiety or suicide, with odds ratio of 33.097 for severe anxiety, and 5.012 for suicide. Conclusions Our results suggest that psychotic symptoms are common in MDD patients at their first episode. The strong association between psychotic MDD and anxiety or suicide attempts demonstrates the importance of reducing anxiety symptoms in the treatment of psychotic MDD patients as well as the necessity to regularly assess suicide risk in MDD patients with psychotic symptoms to better prevent suicidal behavior.