Background: Physicians do not always confidently diagnose psychiatric disorders. The present study was conducted to identify the clinical characteristics of patients in whom a definitive diagnosis of major depressive disorder (MDD) could not be established. Methods: The participants were 199 consecutive outpatients with MDD, who were comprehensively diagnosed using the Mini International Neuropsychiatric Interview (MINI). The physician in charge of each patient quantified his/her sense of self-confidence in diagnosing the patient with MDD using the self-rating questionnaire in which the score ranged from 1 (not at all confident) to 5 (definitely MDD). Using multiple logistic regression, the demographic and clinical factors of the patients in the low diagnostic confidence group (score less than or equal to 3, n = 79) were compared with those in the high diagnostic confidence group (more than 3, n = 120). Results: Comorbidity of anxiety disorders (odds ratio (OR), 4.7), absence of remission (OR, 3.6), and non-melancholic features (OR, 3.5) were identified as the most discriminative variables associated with the low diagnostic confidence of MDD. Conclusion: The results show that physicians were unable to confidently diagnose MDD in 40% of the cases, and that comorbidity of anxiety disorders, absence of remission, and non-melancholic features independently predicted the diagnostic uncertainty of MDD.