Difficulty with effective emotion regulation is a central feature of major depressive disorder (MDD). Correlational evidence suggests that people with MDD experience elevated levels of irritability and anger, although few studies have experimentally tested this idea. The current study examined emotional reactivity across self-report (anger ratings), behavioral (task persistence), and physiological (heart rate, skin conductance) domains in response to a standardized, frustrating task in young adults with MDD (n = 74) and without MDD (n = 107). A secondary goal was to determine whether regulating emotional response with reappraisal, acceptance, or no instruction mitigated emotional reactivity across these domains. People with MDD responded with greater self-reported anger, lower galvanic skin conductance, and less task persistence (i.e., lower distress tolerance) than non-MDD individuals. Emotion regulation strategy did not differentially attenuate emotional responses between MDD groups. Instructions to accept emotions increased anger for all participants compared to reappraisal and no strategy instructions. Results confirm that enhanced anger reactivity and poor distress tolerance are present in MDD compared to healthy controls. However, additional work is needed to further develop and implement strategies that help people with MDD manage their emotional reactivity and enhance distress tolerance.