Purpose: Approximately 30–50% of survivors experience problems with anxiety or depression post-stroke. It is important to understand the factors associated with post-stroke anxiety or depression to identify effective interventions. Methods: Patient-level data from the Australian Stroke Clinical Registry (years 2009–2013), from participating hospitals in Queensland (n = 23), were linked with Queensland Hospital Emergency and Admission datasets. Self-reported anxiety or depression was assessed using the EQ-5D-3L, obtained at 90–180 days post-stroke. Multivariable multilevel logistic regression, with manual stepwise elimination of variables, was used to investigate the association between self-reported anxiety or depression, patient factors and acute stroke processes of care. Comorbidities, including prior mental health problems (e.g. anxiety, depression and dementia) coded in previous hospital admissions or emergency presentations using ICD-10 diagnosis codes, were identified from 5 years prior to stroke event. Results: 2853 patients were included (median age 74; 45% female; 72% stroke; 24% transient ischaemic attack). Nearly half (47%) reported some level of anxiety or depression post-stroke. The factors most strongly associated with anxiety or depression were a prior diagnosis of anxiety or depression [Adjusted Odds Ratio (aOR) 2.37, 95% confidence interval (95% CI) 1.66–3.39; p < 0.001], dementia (aOR 1.91, 95% CI 1.24–2.93; p = 0.003), being at home with support (aOR 1.41, 95% CI 1.12–1.69; p = < 0.001), and low socioeconomic advantage compared to high (aOR 1.59, 95% CI 1.21–2.10; p = 0.001). Acute stroke processes of care were not independently associated with anxiety or depression. Conclusions: Identification of those with prior mental health problems for early intervention and support may help reduce the prevalence of post-stroke anxiety or depression.