Background: Global ultra-processed food (UPF) consumption has risen rapidly. The development and prognosis of depression and anxiety remain unclarified. Herein, we aimed to examine the association between UPF consumption and the incidence and progression trajectory of depression and anxiety. Methods: In our study, participants were recruited between 2006 and 2010. UPF consumption was expressed as UPF servings, energy ratio, and weight ratio. The relationships between UPF consumption and depression or anxiety were assessed using the Cox proportional hazards model. Multi-state models were used to explore the association between UPF consumption and the risks of all transitions from a healthy state to depression or anxiety and then to all-cause mortality. Results: Among the 183 474 participants, 5453 were diagnosed with depression and 6763 with anxiety during the follow-up of 13.1 years. The participants in the highest quartile (Q4) of UPF servings, energy ratio, and weight ratio had an increased risk of depression compared to those in the lowest quartile (Q1), with hazard ratios (HRs) and 95% confidence intervals [CIs] of 1.22 (1.13–1.31), 1.13 (1.05–1.22), and 1.26 (1.17–1.36), respectively. Similarly, participants in Q4 of UPF consumption had a higher risk of anxiety, with HRs (95% CIs) of 1.13 (1.06–1.21), 1.13 (1.05–1.21), and 1.11 (1.04–1.19), compared to those in Q1. The study also found a significant association between UPF consumption and all-cause mortality, which disappeared for participants with depression or anxiety. Conclusions: Our findings revealed that UPF consumption is associated with depression or anxiety.