Background Growing evidence suggests that individuals with anxiety disorder have an elevated risk of cardiovascular disease (CVD) but few studies have assessed this association independently of or jointly with depression. Methods We conducted a prospective cohort study using UK Biobank. Diagnoses of anxiety disorder, depression, and CVDs were ascertained through linked hospital admission and mortality data. Individual and joint associations between anxiety disorder and depression and CVD overall, as well as each of myocardial infarction, stroke/transient ischemic attack, and heart failure, were analyzed using Cox proportional hazard models and interaction tests. Results Among the 431,973 participants, the risk of CVD was higher among those who had been diagnosed with anxiety disorder only (hazard ratio [HR] 1.72; 95% confidence interval [CI] 1.32–2.24), depression only (HR 2.07; 95% CI 1.79–2.40), and both conditions (HR 2.89; 95% CI 2.03–4.11) compared to those without these conditions, respectively. There was very little evidence of multiplicative or additive interaction. Results were similar for myocardial infarction, stroke/transient ischemic attack, and heart failure. Conclusions Having anxiety is associated with the same magnitude of increased risk of CVD among people who do not have depression and those who do. Anxiety disorder should be considered for inclusion in CVD risk prediction and stratification, in addition to depression.