Background: Anxiety and depression are common in multiple sclerosis (MS). We evaluated the prevalence and factors associated with anxiety, depression and fatigue at the 5-year review of a longitudinal cohort study following a first clinical diagnosis of CNS demyelination (FCD). Methods: Cases with a FCD were recruited soon after diagnosis and followed annually thereafter. A variety of environmental, behavioural and clinical covariates were measured at five-year review. Anxiety and depression were measured using the Hospital Anxiety & Depression Scale (HADS), and fatigue by the Fatigue Severity Scale (FSS). Results: Of the 236 cases, 40.2% had clinical anxiety (median HADS-A: 6.0), 16.0% had clinical depression (median HADS-D: 3.0), and 41.3% had clinical fatigue (median FSS: 4.56). The co-occurrence of all three symptoms was 3.76 times greater than expectation. Younger age, higher disability, concussion or other disease diagnosis were independently associated with a higher anxiety score; male sex, higher disability, being unemployed, less physical activity, and antidepressant and/or anxiolytic-sedative medication use were independently associated with a higher depression score. Higher disability, immunomodulatory medication use, other disease diagnosis and anxiolytic-sedative medication use were independently associated with having fatigue, while female sex, higher BMI, having had a concussion, being unemployed and higher disability were associated with a higher fatigue score. Conclusion: These results support previous findings of the commonality of anxiety, depression and fatigue in established MS and extend this to post-FCD and early MS cases. The clustering of the three symptoms indicates that they may share common antecedents.