Depression and anxiety are common following traumatic brain injury (TBI). Understanding their prevalence and interplay within the first year after TBI with differing severities may improve patients' outcomes after TBI. Individuals with a clinical diagnosis of TBI recruited for the large European collaborative longitudinal study CENTER-TBI were screened for patient-reported major depression (MD) and generalized anxiety disorder (GAD) at three, six, and twelve months post-injury (N = 1683). Data were analyzed using autoregressive cross-lagged models. Sociodemographic, premorbid and injury-related factors were examined as risk factors. 14.1-15.5% of TBI patients reported moderate to severe MD at three to twelve months after TBI, 7.9-9.5% reported GAD. Depression and anxiety after TBI presented high within-domain persistency and cross-domain concurrent associations. MD at three months post-TBI had a significant impact on GAD at six months post-TBI, while both acted bidirectionally at six to twelve months post-TBI. Being more severely disabled, having experienced major extracranial injuries, an intensive care unit stay, and being female were risk factors for more severe MD and GAD. Major trauma and the level of consciousness after TBI were additionally associated with more severe MD, whereas being younger was related to more severe GAD. Individuals after TBI should be screened and treated for MD and GAD early on, as both psychiatric disturbances are highly persistent and bi-directional in their impact. More severely disabled patients are particularly vulnerable, and thus warrant timely screening and intensive follow-up treatment.