It is unknown how risk of myocardial infarction and stroke differ for patients with and without anxiety or depression, and whether this risk can be explained by demographics, medication use, cardiovascular risk factors. The aim of this study is to quantify differences in risk of non-fatal MI or stroke among patients with anxiety or depression. Prospective cohort study examining risk of incident MI and stroke between March 2005 and March 2015 for 524,952 patients aged 30 and over from the east London primary care database for patients with anxiety or depression. Amongst 21,811 individuals with depression at baseline, 1.2% had MI and 0.4% had stroke. Of 22,128 individuals with anxiety at baseline, 1.1% had MI and 0.3% had stroke. Depression was independently associated with both MI and stroke, whereas anxiety was associated with MI only before adjustment for cardiovascular risk factors. Antidepressant use increased risk for MI but not stroke. Mean age at first MI was lower in those with anxiety, while mean age at first stroke was lower in those with depression. The study was limited to patients currently registered in the database and thus we did not have any patients that died during the course of follow-up. Patients with depression have increased risk of cardiovascular events. The finding of no increased cardiovascular risk in those with anxiety after adjusting for cardiovascular risk factors is of clinical importance and highlights that the adequate control of traditional risk factors is the cornerstone of cardiovascular disease prevention. Targeting management of classical cardiovascular risk factors and evaluating the risks of antidepressant prescribing should be prioritized.