BACKGROUND: Mental health issues have been reported after SARS-CoV-2 infection. However, comparison to prevalence in uninfected individuals and contribution from common risk factors (e.g., obesity, comorbidities) have not been examined. We identified how COVID-19 relates to mental health in the large community-based COVID Symptom Study. METHODS: We assessed anxiety and depression symptoms using two validated questionnaires in 413,148 individuals between February and April 2021; 26,998 had tested positive for SARS-CoV-2. We adjusted for physical and mental pre-pandemic comorbidities, BMI, age, and sex. FINDINGS: Overall, 26.4% of participants met screening criteria for general anxiety and depression. Anxiety and depression were slightly more prevalent in previously SARS-CoV-2 positive (30.4%) vs. negative (26.1%) individuals. This association was small compared to the effect of an unhealthy BMI and the presence of other comorbidities, and not evident in younger participants (≤40 years). Findings were robust to multiple sensitivity analyses. Association between SARS-CoV-2 infection and anxiety and depression was stronger in individuals with recent (<30 days) vs. more distant (>120 days) infection, suggesting a short-term effect. INTERPRETATION: A small association was identified between SARS-CoV-2 infection and anxiety and depression symptoms. The proportion meeting criteria for self-reported anxiety and depression disorders is only slightly higher than pre-pandemic. FUNDING: Zoe Limited, National Institute for Health Research, Chronic Disease Research Foundation, National Institutes of Health, Medical Research Council UK.