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To investigate empirically the association between anxiety/depression and cause-specific mortality with particular attention to the underlying mechanisms and causes of death. Depression reportedly increases general mortality. For cause-specific mortality, there is evidence depression has an effect on cardiovascular disease (CVD) mortality and suicide. Less information is known as to other mortality diagnoses. There is scarce and conflicting literature on anxiety in relation to mortality.Employing a historical cohort design, we used a link between an epidemiological cohort study and a comprehensive national mortality database. We gathered baseline information on physical and mental health (Hospital Anxiety and Depression Scale, HADS) from the population-based health study (n = 61,349). Causes of death were registered with International Classification of Diagnoses, 10th edition (ICD-10) during mean follow-up of 4.4 years.Case-level depression increased the mortality rate for all major disease-related causes of death, whereas case-level anxiety and comorbid anxiety/depression did not. The effect of depression was similar for cardiac mortality compared with all other causes combined, and confounding effects were also very similar. Symptom load of anxiety was associated negatively with both CVD and other cause mortality in fully adjusted models. Accidents and suicide were associated primarily with comorbid anxiety/depression.Depression is a risk factor for all major disease-related causes of death; it is not limited to CVD mortality or suicide. Because the association between depression and cardiac mortality was comparable to the other causes of death combined and confounding and mediating factors were markedly similar, future investigation as to the mechanisms underlying the effect of depression on mortality should not be limited to CVD mortality.