Abstract Background Empirical evidence suggests that people use cannabis to ameliorate anxiety and depressive symptoms, yet cannabis also acutely worsens psychosis and affective symptoms. However, the temporal relationship between cannabis use, anxiety and depressive symptoms and psychotic experiences (PE) in longitudinal studies is unclear. This may be informed by examination of mutually mediating roles of cannabis, anxiety and depressive symptoms in the emergence of PE. Methods Data were derived from the second longitudinal Netherlands Mental Health Survey and Incidence Study. Mediation analysis was performed to examine the relationship between cannabis use, anxiety/depressive symptoms and PE, using KHB logit in STATA while adjusting for age, sex and education status. Results Cannabis use was found to mediate the relationship between preceding anxiety, depressive symptoms and later PE incidence, but the indirect contribution of cannabis use was small (for anxiety: % of total effect attributable to cannabis use = 1.00%; for depression: % of total effect attributable to cannabis use = 1.4%). Interestingly, anxiety and depressive symptoms were found to mediate the relationship between preceding cannabis use and later PE incidence to a greater degree (% of total effect attributable to anxiety = 17%; % of total effect attributable to depression = 37%). Conclusion This first longitudinal cohort study examining the mediational relationship between cannabis use, anxiety/depressive symptoms and PE, shows that there is a bidirectional relationship between cannabis use, anxiety/depressive symptoms and PE. However, the contribution of anxiety/depressive symptoms as a mediator was greater than that of cannabis.