Introduction The role of COVID-19 vaccination on the mental health of the general population remains poorly understood. This study aims to assess the short-term change in depressive and anxiety symptoms in relation to COVID-19 vaccination among Swedish adults. Methods A prospective study of 7,925 individuals recruited from ongoing cohort studies at the Karolinska Institutet, Stockholm, Sweden, or through social media campaigns, with monthly data collections on self-reported depressive and anxiety symptoms from December 2020 to October 2021 and COVID-19 vaccination from July to October 2021. Prevalence of depressive and anxiety symptoms (defined as a self-reported total score of ≥10 in PHQ-9 and GAD-7, respectively) was calculated one month before, one month after the first dose, and, if applicable, one month after the second dose. For individuals not vaccinated or choosing not to report vaccination status (unvaccinated individuals), we selected three monthly measures of PHQ-9 and GAD-7 with 2-month intervals in-between based on data availability. Results 5,079 (64.1%) individuals received two doses of COVID-19 vaccine, 1,977 (24.9%) received one dose, 305 (3.9%) were not vaccinated, and 564 (7.1%) chose not to report vaccination status. There was a lower prevalence of depressive and anxiety symptoms among vaccinated, compared to unvaccinated individuals, especially after the second dose. Among individuals receiving two doses of vaccine, the prevalence of depressive and anxiety symptoms was lower after both first (aRR = 0.82, 95%CI 0.76–0.88 for depression; aRR = 0.81, 95%CI 0.73–0.89 for anxiety) and second (aRR = 0.79, 95%CI 0.73–0.85 for depression; aRR = 0.73, 95%CI 0.66–0.81 for anxiety) dose, compared to before vaccination. Similar results were observed among individuals receiving only one dose (aRR = 0.76, 95%CI 0.68–0.84 for depression; aRR = 0.82, 95%CI 0.72–0.94 for anxiety), comparing after first dose to before vaccination. Conclusions We observed a short-term improvement in depressive and anxiety symptoms among adults receiving COVID-19 vaccines in the current pandemic. Our findings provide new evidence to support outreach campaigns targeting hesitant groups.