Abstract Background There is substantial variation in patient symptoms following psychological therapy for depression and anxiety. However, reliance on endpoint outcomes ignores additional interindividual variation during therapy. Knowing a patient's likely symptom trajectories could guide clinical decisions. We aimed to identify latent classes of patients with similar symptom trajectories over the course of psychological therapy and explore associations between baseline variables and trajectory class. Methods Patients received high-intensity psychological treatment for common mental health problems at National Health Service Improving Access to Psychological Therapies services in South London (N = 16 258). To identify trajectories, we performed growth mixture modelling of depression and anxiety symptoms over 11 sessions. We then ran multinomial regressions to identify baseline variables associated with trajectory class membership. Results Trajectories of depression and anxiety symptoms were highly similar and best modelled by four classes. Three classes started with moderate-severe symptoms and showed (1) no change, (2) gradual improvement, and (3) fast improvement. A final class (4) showed initially mild symptoms and minimal improvement. Within the moderate-severe baseline symptom classes, patients in the two showing improvement as opposed to no change tended not to be prescribed psychotropic medication or report a disability and were in employment. Patients showing fast improvement additionally reported lower baseline functional impairment on average. Conclusions Multiple trajectory classes of depression and anxiety symptoms were associated with baseline characteristics. Identifying the most likely trajectory for a patient at the start of treatment could inform decisions about the suitability and continuation of therapy, ultimately improving patient outcomes.