In the study, 512 high school students from China were followed three times over a two-year period using a follow-up study design. Based on the broaden-and-build theory of positive emotions, a cross-lagged model was developed to investigate the bidirectional relationship between gratitude and depression/anxiety. The results showed that gratitude was significantly negatively correlated with depression and anxiety. However, gratitude did not significantly negatively predict depression and anxiety in the cross-lag analysis, while depression and anxiety did significantly negatively predict gratitude. Based on the broaden-and-build theory of positive emotions, this study breaks the direct promoting effect of gratitude on promoting mental health in traditional cognition, and reveals the one-way predicting relationship between depression and anxiety, two typical adverse psychological emotions, on gratitude, which has important theoretical and practical significance for understanding the development of social emotions in adolescents from the perspective of mental health.