(1) Background: Depression and anxiety are the most common and severe mental disorders. This research estimated the prevalence and disease burden of depression and anxiety from 1990 to 2044. (2) Methods: Data on disease burden, population, and risk factors were identified and gathered from the Global Health Data Exchange database. The time trends, sex and age differences, key factors, and regional variations in and predictions of depression and anxiety were analyzed based on the age-standardized incidence rate, prevalence rate, and DALY rate. (3) Results: Our findings revealed that the burden of depression and anxiety was heavy. Specifically, the age-standardized DALY rate of depression started to decrease compared with trends related to anxiety disorders. Meanwhile, females bear a heavier burden for both depression and anxiety. Seniors and the middle-aged population carry the highest burden regarding mental disorders. Both high- and low-socio-demographic-index countries were found to be high-risk regions for depressive disorders. The disease burden attributed to childhood sexual abuse, bullying victimization, and intimate partner violence has increased since 1990. Finally, projections regarding depression and anxiety revealed geographic and age variations. (4) Conclusions: Public health researchers, officers, and organizations should take effective age-, sex-, and location-oriented measures.