Psoriasis is a chronic-inflammatory, immune-mediated disease leading to a state of increased systemic inflammation. Mental comorbidities often occur in the patients and may additionally affect the therapy outcome. Currently, it is unknown whether the disease severity, psychosocial stress or health-related quality of life determines the manifestation of anxiety/depression, or vice versa, in psoriasis. The interplay between these variables during the dermatological treatment of psoriasis remains to be elucidated in order to initiate appropriate psychological interventions and to identify patients at risk for comorbid anxiety/depression. In a prospective cohort study, the impact of disease severity, health-related quality of life and psychosocial stress on anxiety/depression were examined during the dermatological treatment in patients with moderate to severe psoriasis (patients with psoriasis = PSO). Patients were examined before (T1) and about 3 months after (T2) the beginning of a new treatment episode, in most cases by means of systemic therapy. Data were analysed, exploratory, using Bivariate Latent Change Score Models and mediator analyses. Assessments included patient-reported outcomes (Hospital Anxiety and Depression Scale/HADS, Perceived Stress Scale/PSS, Childhood Trauma Questionnaire/CTQ, Dermatology Life Quality Index-DLQI, Body Surface Area-BSA), at both T1 and T2. 83 PSO patients (37.3% women, median age 53.7, IQR 37.8–62.5, median BSA 18.0, IQR 9.0–40.0) with complete data of HADS and DLQI were included. In the total group, a higher anxiety/depression at T1 was associated with a lower improvement in psoriasis severity in the course of the dermatological treatment (γ_BSA = 0.50, p < 0.001). In subgroups of PSO with low/high CTQ scores, anxiety/depression at T1 had no impact on the change in psoriasis severity. Only by tendency, in CTQ subgroups, a higher psoriasis severity at T1 was linked with a higher improvement in anxiety/depression at T2 (low/high CTQ, γ_HADS = −0.16/−0.15, p = 0.08). An improvement in the health-related quality of life was positively associated with an improvement in anxiety/depression (Pearson's r = 0.49, p = 0.02). Here, the reduction of acute psychosocial stress seems to be a decisive factor, mediating this association (β = 0.20, t [2,60] = 1.87; p = 0.07, 95% CI −0.01, 0.41). The results allude, that the initial severity of anxiety/depression may presumably have an impact on the treatment outcome in the total group. In contrast, analysing subgroups of patients with high/low childhood trauma, the impact of the initial disease severity on the course of anxiety/depression after a switch to a new dermatological treatment could not be conclusively ruled out. The latter results from the latent change score modelling should be treated cautiously because of the small sample size. A common aetiopathological mechanism for psoriasis and anxiety/depression might be assumed with impact of dermatological treatment on both. The change in perceived stress seems to play an important role in the manifestation of anxiety/depression, substantiating the need for adequate stress management in patients with increased psychosocial stress during their dermatological treatment.