BackgroundDepression and anxiety have long been hypothesized to be related to an increased cancer risk. Despite the great amount of research that has been conducted, findings are inconclusive. To provide a stronger basis for addressing the associations between depression, anxiety, and the incidence of various cancer types (overall, breast, lung, prostate, colorectal, alcohol‐related, and smoking‐related cancers), individual participant data (IPD) meta‐analyses were performed within the Psychosocial Factors and Cancer Incidence (PSY‐CA) consortium.MethodsThe PSY‐CA consortium includes data from 18 cohorts with measures of depression or anxiety (up to N = 319,613; cancer incidences, 25,803; person‐years of follow‐up, 3,254,714). Both symptoms and a diagnosis of depression and anxiety were examined as predictors of future cancer risk. Two‐stage IPD meta‐analyses were run, first by using Cox regression models in each cohort (stage 1), and then by aggregating the results in random‐effects meta‐analyses (stage 2).ResultsNo associations were found between depression or anxiety and overall, breast, prostate, colorectal, and alcohol‐related cancers. Depression and anxiety (symptoms and diagnoses) were associated with the incidence of lung cancer and smoking‐related cancers (hazard ratios [HRs], 1.06–1.60). However, these associations were substantially attenuated when additionally adjusting for known risk factors including smoking, alcohol use, and body mass index (HRs, 1.04–1.23).ConclusionsDepression and anxiety are not related to increased risk for most cancer outcomes, except for lung and smoking‐related cancers. This study shows that key covariates are likely to explain the relationship between depression, anxiety, and lung and smoking‐related cancers.Preregistration numberhttps://www.crd.york.ac.uk/prospero/display_record.php?RecordID=157677.