Background Little is known about whether people who use both tobacco and cannabis (co-use) are more or less likely to have mental health disorders than single substance users or non-users. We aimed to examine associations between use of tobacco and/or cannabis with anxiety and depression. Methods We analyzed data from the COVID-19 Citizen Science Study, a digital cohort study, collected via online surveys during 2020–2022 from a convenience sample of 53,843 US adults (≥ 18 years old) nationwide. Past 30-day use of tobacco and cannabis was self-reported at baseline and categorized into four exclusive patterns: tobacco-only use, cannabis-only use, co-use of both substances, and non-use. Anxiety and depression were repeatedly measured in monthly surveys. To account for multiple assessments of mental health outcomes within a participant, we used Generalized Estimating Equations to examine associations between the patterns of tobacco and cannabis use with each outcome. Results In the total sample (mean age 51.0 years old, 67.9% female), 4.9% reported tobacco-only use, 6.9% cannabis-only use, 1.6% co-use, and 86.6% non-use. Proportions of reporting anxiety and depression were highest for the co-use group (26.5% and 28.3%, respectively) and lowest for the non-use group (10.6% and 11.2%, respectively). Compared to non-use, the adjusted odds of mental health disorders were highest for co-use (Anxiety: OR = 1.89, 95%CI = 1.64–2.18; Depression: OR = 1.77, 95%CI = 1.46–2.16), followed by cannabis-only use, and tobacco-only use. Compared to tobacco-only use, co-use (OR = 1.35, 95%CI = 1.08–1.69) and cannabis-only use (OR = 1.17, 95%CI = 1.00–1.37) were associated with higher adjusted odds for anxiety, but not for depression. Daily use (vs. non-daily use) of cigarettes, e-cigarettes, and cannabis were associated with higher adjusted odds for anxiety and depression. Conclusions Use of tobacco and/or cannabis, particularly co-use of both substances, were associated with poor mental health. Integrating mental health support with tobacco and cannabis cessation may address this co-morbidity.