Objectives: The evidence for an association between depression and anxiety and increased hypertension risk is inconsistent. We aimed to investigate the association between each of depression and anxiety and incident hypertension. Methods: We included women born between 1946 and 1951 from the Australian Longitudinal Study on Women’s Health, surveyed triennially from 1998 to 2013, without a history of hypertension at baseline. We defined depression using the Center for Epidemiological Studies Depression scale shortened version 10 and anxiety using self-reported doctor-diagnosis. We related depression and anxiety to incident hypertension, using generalized estimating equations, adjusting for time-varying covariates. Results: Among 9182 women, 2738 developed hypertension during 15-year follow-up. Depression was associated with a 30% increased odds of hypertension [age-adjusted odds ratio (OR) 1.30, 95% confidence interval (CI) 1.19–1.43]. This attenuated and was no longer significant in fully adjusted analyses (OR 1.07, 95% CI 0.96–1.20). Adjusting for BMI alone reduced the association markedly (OR 1.19, 95% CI 1.08–1.31). Anxiety was similarly associated with increased odds of hypertension, but this association became nonsignificant after adjusting for depression (OR 1.12, 95% CI 0.97–1.30). Conclusion: The frequently observed association between depression and hypertension may be explained by confounding, whereas comorbid depression may account for the apparent effect of anxiety on hypertension risk. However, further research is needed to determine whether factors such as BMI play a mediating role on a causal pathway between depression and hypertension. Nevertheless, weight and weight gain among women with depression should be closely monitored to reduce potential effects on hypertension risk.