Abstract Introduction Diagnoses of anxiety and/or depression are common in subjects at Ultra-High Risk for Psychosis (UHR) and associated with extensive functional impairment. Less is known about the impact of affective comorbidities on the prospective course of attenuated psychotic symptoms (APS). Method Latent class mixed modelling identified APS trajectories in 331 UHR subjects assessed at baseline, 6, 12, and 24 months follow-up. The prognostic value of past, baseline, and one-year DSM-IV depressive or anxiety disorders on trajectories was investigated using logistic regression, controlling for confounders. Cox proportional hazard analyses investigated associations with transition risk. Results 46.8% of participants fulfilled the criteria for a past depressive disorder, 33.2% at baseline, and 15.1% at one-year follow-up. Any past, baseline, or one-year anxiety disorder was diagnosed in 42.9%, 37.2%, and 27.0%, respectively. Participants were classified into one of three latent APS trajectory groups: (1) persistently low, (2) increasing, and (3) decreasing. Past depression was associated with a higher risk of belonging to the increasing trajectory group, compared to the persistently low (OR = 3.149, [95%CI: 1.298–7.642]) or decreasing group (OR = 3.137, [1.165–8.450]). In contrast, past (OR = .443, [.179–1.094]) or current (OR = .414, [.156–1.094]) anxiety disorders showed a trend-level association with a lower risk of belonging to the increasing group compared to the persistently low group. Past depression was significantly associated with a higher risk of transitioning to psychosis (HR = 2.123, [1.178–3.828]). Conclusion A past depressive episode might be a particularly relevant risk factor for an unfavorable course of APS in UHR individuals. Early affective disturbances may be used to advance detection, prognostic, and clinical strategies.