Comorbid glucose metabolism abnormalities are very common in patients with major depressive disorder (MDD), and glucose metabolism and lipid metabolism are closely related. However, there are few researches on the incidence and related factors of lipid metabolism abnormalities among MDD patients with comorbid glucose metabolism abnormalities. A cross-sectional study involving 1718 first-episode and drug-naïve (FEDN) MDD patients was conducted. The 17-item Hamilton Depression Scale (HAMD-17), Hamilton Anxiety Rating Scale (HAMA) and Positive and Negative Syndrome Scale (PANSS) positive subscale were utilized to evaluate depressive, anxiety and psychotic symptom, respectively. Serum thyroid function-related parameters, glucose- and lipid-metabolism parameters were measured. The prevalence of abnormal lipid metabolism was significantly higher in FEDN MDD patients with abnormal glucose metabolism than in those without abnormal glucose metabolism (P< 0.001). In MDD patients with abnormal glucose metabolism, TSH, FT3 and body mass index (BMI) levels were significantly higher in the abnormal lipid metabolism subgroup than in the non-abnormal lipid metabolism subgroup. Binary logistic regression analysis showed that TSH, FT3 and BMI were the influencing factors of abnormal lipid metabolism in MDD patients with abnormal glucose metabolism (allP< 0.05). MDD patients with abnormal glucose metabolism have a high prevalence of abnormal lipid metabolism. Moreover, abnormal glucose metabolism was an independent risk factor for abnormal lipid metabolism in patients with MDD. In addition, thyroid hormone function and BMI may contribute to the co-occurrence of abnormal lipid metabolism in MDD patients with abnormal glucose metabolism.