(1) Background: While the therapeutic efficacy of Transcranial Magnetic Stimulation (TMS) for major depressive disorder (MDD) is well established, less is known about the technique’s efficacy for treating comorbid anxiety. (2) Methods: Data were retrospectively analyzed from randomized controlled trials (RCTs) that used Deep TMS with the H1 Coil for MDD treatment. The primary endpoint was the difference relative to sham treatment following 4 weeks of stimulation. The effect size was compared to literature values for superficial TMS and medication treatments. (3) Results: In the pivotal RCT, active Deep TMS compared with sham treatment showed significantly larger improvements in anxiety score (effect size = 0.34, p = 0.03 (FDR)) which were sustained until 16 weeks (effect size = 0.35, p = 0.04). The pooled effect size between all the RCTs was 0.55, which compares favorably to alternative treatments. A direct comparison to Figure-8 Coil treatment indicated that treatment with the H1 Coil was significantly more effective (p = 0.042). In contrast to previously reported studies using superficial TMS and medication for which anxiety has been shown to be a negative predictor of effectiveness, higher baseline anxiety was found to be predictive of successful outcome for the H1-Coil treatment. (4) Conclusions: Deep TMS is effective in treating comorbid anxiety in MDD and, unlike alternative treatments, the outcome does not appear to be adversely affected by high baseline anxiety levels.