Background: The mental health states of Female Sex Workers (FSWs) are least explored. The present study examined the levels of anxiety and depression as well as associated factors among FSWs in Dire Dawa city. Methods: Cross-sectional explanatory sequential mixed-method research design was used. Snowball technique was used to recruit respondents. Beck Anxiety Inventory and Patient Health Questionnaire were used to measure anxiety and depression, respectively. Valid questionnaires were collected from 292 respondents (81% response rate) and interviews were made with six FSWs. Data collected through the questionnaire were analyzed  using frequency, percentage, independent sample t-test, ANOVA, Pearson correlation and multiple linear regression while thematic analysis was used to analyze the qualitative data. Results: The prevalence rates of anxiety and depression were 43.5% and 69.8%, respectively.  Psychosocial and demographic variables were important correlates explaining 56% (F=43.324, p=<0.01, R2=.557) and 23% (F=10.319, p<0.01, R2=.228) of the variations in anxiety and depression, respectively. Specifically, Khat use (b= .371, t=8.744, p<0.01), violence (b= .272, t= 6.521, p<0.01), stigma (b= .258, t= 5.427, p<0.01), tobacco use (b=.200, t= 3.837, p<0.01) and alcohol use (b= -.136, t= -3.327, p<0.01) were significantly correlated with anxiety. Besides, violence (b= .298, t= 5.439, p<0.01), alcohol use (b= -.162, t= 3.011, p<0.01), stigma (b= .160, t= 2.549, p<0.05), and Khat use (b= .151, t= 2.915, p<0.01) were significantly associated with depression. The qualitative findings substantiated the survey results. Conclusion: From the findings it is concluded that FSWs in Dire Dawa city were experiencing higher levels of anxiety and depression where psychosocial were important correlates of FSWs’ mental health. Therefore, organizations that are working with and/or concerned about FSWs need to provide evidence-based mental health and psychosocial interventions.