Background: Studies about the association of carbonated/soft drinks, coffee, and tea with depression and anxiety are scarce and inconclusive and little is known about this association in European adults. Our aim was to examine the association between the consumption of these beverages and depressive and anxiety symptom severity. Methods: A total of 941 European overweight adults (mean age, 46.8 years) with subsyndromal depression that participated in the MooDFOOD depression prevention randomized controlled trial (Clinical Trials.gov identifier: NCT2529423; date of the study: from 2014 to 2018) were analyzed. Depressive and anxiety symptom severity and beverage consumption were assessed using multilevel mixed-effects ordinal logistic regression models for each beverage consumption (carbonated/soft drink with sugar, carbonated/soft drink with non-nutritive sweeteners, coffee, and tea) with the three repeated measures of follow-up (baseline and 6 and 12 months). A case report form for participants’ sociodemographic and clinical characteristics, the Food Frequency Questionnaire, the Patient Health Questionnaire-9, the Generalized Anxiety Disorder 7-Item Scale, the MINI International Neuropsychiatric Interview 5.0, the Short Questionnaire to Assess Health-Enhancing Psychical Activity, and the Alcohol Use Disorders Identification Test were the research tools used. Results: Daily consumption of carbonated/soft drinks with sugar was associated with a higher level of anxiety. Trends towards significance were found for associations between both daily consumption of carbonated/soft drinks with sugar and non-nutritive sweeteners and a higher level of depression. No relationship was found between coffee and tea consumption and the level of depression and anxiety. Conclusions: The high and regular consumption of carbonated/soft drink with sugar (amount of consumption: ≥1 unit (200 mL)/day) tended to be associated with higher level of anxiety in a multicountry sample of overweight subjects with subsyndromal depressive symptoms. It is important to point out that further research in this area is essential to provide valuable information about the intake patterns of non-alcoholic beverages and their relationship with affective disorders in the European adult population.