Background The aim of this study was to identify patients vulnerable for anxiety and/or depression following aortic valve replacement (AVR) and to evaluate factors that may mitigate this risk. Methods and Results This is a retrospective cohort study conducted using a claims database; 18 990 patients (1/2013–12/2018) ≥55 years of age with 6 months of pre‐AVR data were identified. Anxiety and/or depression risk was compared at 3 months, 6 months, and 1 year following transcatheter aortic valve replacement or surgical AVR (SAVR) after risk adjustment using logistic regression and Cox proportional hazards models. Separate models were estimated for patients with and without surgical complications and discharge location. Patients with SAVR experienced a higher relative risk of anxiety and/or depression at 3 months (12.4% versus 8.8%; adjusted hazard ratio [HR] 1.39 [95% CI, 1.19–1.63]) and 6 months (15.6% versus 13.0%; adjusted HR, 1.24 [95% CI, 1.08–1.42]), with this difference narrowing by 12 months (20.1% versus 19.3%; adjusted HR, 1.14 [95% CI, 1.01–1.29]) after AVR. This association was most pronounced among patients discharged to home, with patients with SAVR having a higher relative risk of anxiety and/or depression. In patients who experienced operative complications, there was no difference between SAVR and transcatheter aortic valve replacement. However, among patients without operative complications, patients with SAVR had an increased risk of postoperative anxiety and/or depression at 3 months (adjusted HR, 1.47 [95% CI, 1.23–1.75]) and 6 months (adjusted HR 1.26 [95% CI, 1.08–1.46]), but not at 12 months. Conclusions There is an associated reduction in the risk of new‐onset anxiety and/or depression among patients undergoing transcatheter aortic valve replacement (versus SAVR), particularly in the first 3 and 6 months following treatment.