Background Major Depressive Disorder (MDD) and anxiety disorders often co‐occur, with poorer treatment response and long‐term outcomes. However, little is known about the shared and distinct neural mechanisms of comorbid MDD and anxiety (MDD+Anx). This study examined how MDD and MDD+Anx differentially impact cognitive control. Methods Eighteen MDD, 29 MDD+Anx, and 54 healthy controls (HC) completed the Parametric Go/No‐Go (PGNG) during fMRI, including Target, Commission, and Rejection trials. Results MDD+Anx had more activation in the anterior dorsolateral prefrontal cortex, hippocampus, and caudate during Rejections, and inferior parietal lobule during correct Targets than MDD and HC. During Rejections HC had greater activation in a number of cognitive control regions compared to MDD; in the posterior cingulate compared to MDD+Anx; and in the fusiform gyrus compared to all MDD. During Commissions HC had greater activation in the right inferior frontal gyrus than all MDD. MDD had more activation in the mid‐cingulate, inferior parietal lobule, and superior temporal gyrus than MDD+Anx during Commissions. Conclusions Despite similar performance, MDD and MDD+Anx showed distinct differences in neural mechanisms of cognitive control in relation to each other, as well as some shared differences in relation to HC. The results were consistent with our hypothesis of hypervigilance in MDD+Anx within the cognitive control network, but inconsistent with our hypothesis that there would be greater engagement of salience and emotion network regions. Comorbidity of depression and anxiety may cause increased heterogeneity in study samples, requiring further specificity in detection and measurement of intermediate phenotypes and treatment Targets.