Spending a lot of time sitting has been linked to more depressive symptoms and spending a lot of time engaged in screen-based sitting has been linked to greater likelihood of having mental disorders and poorer psychological distress. The purpose of this study was to examine whether overall sitting time and time spent sitting in different contexts was associated with depression, anxiety, or stress symptoms. Sitting time (time spent sitting on typical work- and non-work days while engaged in leisure activities, working, using a computer, watching television, and in transport) and symptom severity of depression, anxiety and stress were self-reported in a cross-sectional online survey in 2012 by Australian adults (N = 1,104, 55% female, M age = 58 years). Associations were examined using negative binomial regression analyses accounting for the covariates of physical activity, sex, age, income, education, and presence of chronic conditions. Overall sitting time was significantly associated with more severe depression (b = 0.01, 95% CI = 0.00–0.02) and anxiety (b = 0.03, 95% CI = 0.02–0.04) but not stress (b = 0.01, 95% CI = −0.00 –to 0.02) symptoms. Time spent sitting while at a computer was associated with more severe depression (b = 0.04, 95% CI = 0.01–0.07) and anxiety (b = 0.03, 95% CI = 0.00–0.06) symptoms, and time spent sitting while in transport was associated with more severe anxiety (b = 0.09, 95% CI = 0.05–0.13) and stress (b = 0.05, 95% CI = 0.02–0.08) symptoms. Limiting overall sitting time and time spent sitting while at a computer or in transport could be a potential strategy to improve mental health.