High levels (>50%) of anxiety are reported in patients undergoing screening for prostate cancer, which may affect health-related quality of life. We aimed to determine the level and prevalence of anxiety and depression and to identify those aspects of the diagnostic pathway that induce the most stress in men being investigated for prostate cancer. A total of 159 prostate-specific antigen-unscreened men undergoing a transrectal ultrasound-guided biopsy of the prostate (TRUS-B) completed two questionnaires, prior to their biopsy and before receiving results, containing the Hospital Anxiety and Depression Scale (HADS) and a 10-point Visual Analogue Scale (VAS). Median scores and prevalence of anxiety (4-5, 4-7%) and depression (1-2, 1.4%) respectively were low for both questionnaires. Waiting for biopsy results received the highest median VAS score (6) and was the most stressful event in 65% of men. There is a low incidence of clinically significant anxiety and depression in men being investigated for prostate cancer but questionnaires such as HADS identify patients with psychological distress who may benefit from early counselling. Uncertainty about the future while awaiting biopsy results after TRUS-B seems to be the most stressful event in patients' lives and minimizing this wait should help optimize patient care.