BACKGROUND: Depression 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. METHODS: The 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). RESULTS: No 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). CONCLUSIONS: Depression 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 NUMBER: https://www.crd.york.ac.uk/prospero/display_record.php?RecordID=157677