Prostate cancer (PCa) is the most prevalent among men, and psychological symptoms may affect many patients. This study aims to describe the prevalence of probable anxiety and depression before PCa treatments and after one year and to identify sociodemographic and clinical factors associated with these outcomes. Between February 2018 and March 2020, 292 patients recently diagnosed with PCa were recruited at the Instituto Português de Oncologia—Porto. The Hospital Anxiety and Depression Scale (HADS) was used to define probable anxiety and depression (cutoff = 11). The prevalence of probable anxiety remained stable from baseline to one year (7.8% vs. 8.5%, p = 0.866) while there was an increase in probable depression (3.1% vs. 6.8%, p = 0.012). After one year, probable depression persisted in 55.6% of patients with probable depression at baseline and 47.8% of those with probable anxiety at the first assessment had normal anxiety scores. At baseline, anxiety was more frequent among dwellers in rural areas (adjusted odds ratio—aOR, 95%CI: 2.80, 0.91–8.58) and less frequent in patients with body mass index 25–29.9 kg/m2 (aOR, 95%CI: 0.33, 0.12–0.91) compared to 18.5–24.9 Kg/m2, while those living alone had higher odds of depression (aOR, 95%CI: 6.35, 1.43–28.30). The frequency of anxiety and depression fluctuated during the course of treatment. Monitoring these symptoms would identify the most affected patients, contributing for a better use of mental health services.