The aim of this study was to examine the sociodemographic and clinical differences between people with a probable diagnosis of panic disorder (PD) and those with PD and a probable comorbid diagnosis major depressive disorder (PD + MDD). We also sought to explore the potential contribution of cognitive variables to help differentiate between PD and PD + MDD. This was a subgroup analysis of 331 patients with PD symptoms who were included in the PsicAP clinical trial. All participants completed scales to evaluate panic, depression, somatization, cognitive and performance variables. A univariate analysis showed significant differences (p < .01) between the groups (PD vs PD + MDD) in clinical variables. Somatization was the best predictor of comorbid PD + MDD (β = .346; p < .01). Cognitive variables do not appear to play an essential role in predicting the presence of depressive symptoms in people with a screen positive for PD. These findings appear to support a transdiagnostic treatment approach for PD, which may be useful regardless of whether comorbid depression is present or not.Practitioner points Somatic symptoms were associated with a higher probability of be in the PD + MDD group. Cognitive variables do not play a relevant role in the differentiation of both groups. A transdiagnostic approach can be useful for the treatment of PD or PD + MDD group.