Objective: This study aimed to develop a National Depression Index and a National Anxiety Index to measure the depression and anxiety status of the Australian population, to compare data between surveys, and to compare relative risk in different population groups. Method: The indices were developed using cross-sectional data from four surveys: the 1997 and 2007 National Surveys of Mental Health and Wellbeing (NSMHWB) and the 2001 and 2004/5 National Health Surveys (NHS). Six items from the K10 that most closely related to the ICD-10 diagnosis of depression and four that most closely related to a diagnosis of an anxiety disorder were used to create separate scales. The indices were developed by estimating the predicted probabilities of depression and anxiety on these separate K10 scales in the 2007 NSMHWB and then applying these predicted probabilities to the same scales in the other surveys. The 1997 NSMHWB and 2001 NHS were used as benchmarks for the respective surveys, with values greater than or less than 100 on the indices indicating a higher or lower probability of depression and anxiety in the subsequent survey year. Overall mean risks of depression and anxiety were examined along with differences in mean risk by age, household income, employment status and geographic location for males and females. Results: There was an overall increase in the mean risk of anxiety between the 1997 and 2007 NSMHWB but no significant difference in the mean risk of depression. Significant increases in the mean risk of anxiety were observed for women aged 45–64, for employed men and women, and for women living in the inner city and non-regional rural areas. Conclusions: The increase in the mean risk of anxiety may support the need for public education to focus on anxiety disorders, particularly for middle-aged women and for employed men and women.