Background: Findings on associations of androgens and sex hormone-binding globulin (SHBG) with anxiety and depressive disorders in the general population remain inconclusive. Methods: We used data of n = 993 men and n = 980 women from the Study of Health in Pomerania (SHIP, a prospective-longitudinal general population study from northeastern Germany). Immunoassay-measured serum concentrations of total testosterone, androstenedione and SHBG were assessed when participants were aged 20–80. 12-month, lifetime and incident DSM-IV anxiety and depressive disorders were assessed with the DIA-X/M-CIDI at 10-year follow-up, when participants were aged 29–89. Logistic regressions were adjusted for age, smoking, alcohol consumption, physical activity, waist circumference, hypertension and oral contraceptive use (women only) at baseline and follow-up interval. Results: In men and women, androgens and SHBG were not associated significantly with incident anxiety and depressive disorders. In men, higher total testosterone predicted any 12-month (OR = 1.46) and lifetime (OR = 1.34) anxiety disorder, lifetime social phobia (OR = 2.15), and 12-month (OR = 1.48) and lifetime (OR = 1.39) specific phobia, but neither 12-month nor lifetime depression. Moreover, androstenedione in men interacted with age in predicting lifetime anxiety disorders (OR = 0.98): Higher androstenedione more strongly predicted lifetime anxiety in younger vs. older men. These findings, however, did not survive correction for multiple testing. In women, androgens and SHBG were not associated significantly with 12-month and lifetime anxiety and depressive disorders. Limitations: The follow-up period was relatively long and other factors might have affected the examined associations. Conclusions: Higher serum total testosterone in men and androstenedione in younger men may relate to an increased risk of anxiety disorders.