Background Essential workers have been shown to present a higher prevalence of positive screenings for anxiety and depression during the COVID-19 pandemic. Individuals from countries with socioeconomic inequalities may be at increased risk for mental health disorders. Objective We aimed to assess the prevalence and predictors of depression, anxiety, and their comorbidity among essential workers in Brazil and Spain during the COVID-19 pandemic. Methods A web survey was conducted between April and May 2020 in both countries. The main outcome was a positive screening for depression only, anxiety only, or both. Lifestyle was measured using a lifestyle multidimensional scale adapted for the COVID-19 pandemic (Short Multidimensional Inventory Lifestyle Evaluation–Confinement). A multinomial logistic regression model was performed to evaluate the factors associated with depression, anxiety, and the presence of both conditions. Results From the 22,786 individuals included in the web survey, 3745 self-reported to be essential workers. Overall, 8.3% (n=311), 11.6% (n=434), and 27.4% (n=1027) presented positive screenings for depression, anxiety, and both, respectively. After adjusting for confounding factors, the multinomial model showed that an unhealthy lifestyle increased the likelihood of depression (adjusted odds ratio [AOR] 4.00, 95% CI 2.72-5.87), anxiety (AOR 2.39, 95% CI 1.80-3.20), and both anxiety and depression (AOR 8.30, 95% CI 5.90-11.7). Living in Brazil was associated with increased odds of depression (AOR 2.89, 95% CI 2.07-4.06), anxiety (AOR 2.81, 95%CI 2.11-3.74), and both conditions (AOR 5.99, 95% CI 4.53-7.91). Conclusions Interventions addressing lifestyle may be useful in dealing with symptoms of common mental disorders during the strain imposed among essential workers by the COVID-19 pandemic. Essential workers who live in middle-income countries with higher rates of inequality may face additional challenges. Ensuring equitable treatment and support may be an important challenge ahead, considering the possible syndemic effect of the social determinants of health.