<b><i>Introduction:</i></b> On average, aspects of mental health improve following behavioural weight management programmes, yet this is not the case for all participants. It is important to identify those at risk of harm to provide more effective psychological support. We aimed to identify participant characteristics associated with changes in depression and anxiety in participants of a behavioural weight management programme. <b><i>Methods:</i></b> In the Weight loss Referrals for Adults in Primary care trial, 1,267 adults with body mass index ≥28 kg/m² were randomized to brief intervention, or WW (formerly weight watchers) for 12-weeks or 52-weeks and followed for 5 years. We used linear and multinomial regression to explore the association between participant characteristics and changes in depression and anxiety (measured by the hospital anxiety and depression scale). Where possible, the impact of missing data was investigated using multiple imputation. <b><i>Results:</i></b> Higher baseline anxiety was associated with decreases in anxiety symptoms and increases in depression symptoms from baseline to follow-up. Higher baseline depression was associated with decreases in depression symptoms and increases in anxiety symptoms from baseline to follow-up. The magnitude of the associations was small. No further characteristics were consistently associated with changes in mental health. <b><i>Discussion:</i></b> Evidence suggests that baseline depression and anxiety may indicate how depression and anxiety symptoms change during and after attending WW. Measurement of depression and anxiety at the start of a behavioural weight management programme and subsequent monitoring may facilitate timely psychological support if a deterioration in mental health is identified. Further research in large and diverse participant samples is required to clarify the findings.