The purpose of this study is to determine the effect of cancer survivorship stage and health-related behaviors on the risk of developing mental health problems (depressive and anxiety disorders) in women who have experienced cancers that affect women (breast cancer, cervical cancer, ovarian cancer, endometrial cancer). Using the healthcare utilization and medical checkup data from 2010 to 2020 provided by the National Health Insurance Service, the occurrence of mental health problems since 2020 was tracked for 36,801 women diagnosed with cancer. The occurrence of mental health problems was defined as the cases in which the disease code was assigned to anxiety disorders (F40~F44, F48) and depressive disorders (F32~34, F41.2, F92) as presented in ICD-10. To evaluate the effect of cancer survivorship stage and health-related behaviors on the development of mental health problems, the hazard ratio (HR) and 95% confidence intervals (CI) were calculated using the Cox proportional hazard model. During the follow-up period of 5.6 years, anxiety disorder occurred in 14,698 (39.9%), and by cancer type, breast cancer survivors accounted for the most at 1.02 per 1000 person-years. The risk of anxiety disorders increased in those who experienced cervical cancer (AHR, 1.08, 95% CI, 1.03–1.13) and those in the acute survivorship stage (AHR, 1.38, 95% CI, 1.22–1.55). In terms of health-related behaviors, the risk of developing anxiety disorder was shown to be reduced in drinkers (AHR, 0.91, 95% CI, 0.87–0.96), former smokers (AHR, 0.86, 95% CI, 0.77–0.97), and current smokers (AHR, 0.80, 95% CI, 0.71–0.90). During the follow-up period of 5.6 years, depressive disorder occurred in 6168(16.8%), and by cancer type, ovarian cancer survivors accounted for the most at 1.30 per 1000 person-years. The risk of developing depressive disorders was highest in those who experienced ovarian cancer (AHR, 1.40, 95% CI, 1.27–1.53) and those in the acute survivorship stage (AHR, 2.99, 95% CI, 2.60–3.42). For health-related behaviors, the risk of developing depressive disorders was increased in former smokers (AHR, 1.32, 95% CI, 1.14–1.54), current smokers (AHR, 1.21, 95% CI, 1.04–1.41), and those with insufficient physical activity (AHR, 1.09, 95% CI, 1.02–1.15). It has been confirmed that cancer type, cancer survivorship stage, and health-related behaviors, such as smoking, drinking, and physical activity, are significantly related to the risk of mental health problems. Thus, it is necessary to develop strategies to cope with mental health problems at the individual and national levels and to develop interventions to promote a more active lifestyle.