To examine the prevalence of depression and anxiety in the United States by state and MMSA. The 2006 Behavioral Risk Factor Surveillance System collected depression and anxiety data on 74 metropolitan and micropolitan statistical areas (MMSAs) and 41 states/territories (n = 217,379). The national prevalence of current depression, lifetime diagnosis of depression, and lifetime diagnosis of anxiety is 8.7 %, 15.7 %, and 11.3 %, respectively. There is considerable variability within and across states for all three measures. The most striking within-state difference in current depression between MMSAs is in California: 5.4 % and 11.3 %. This variation in mental health at the state and MMSA levels calls for development and implementation of local programs.