Rates of depression have been rising, as have rates of work stress. We tested the influence of work stress on diagnosed depression and anxiety in young working adults. Participants were enrolled in the Dunedin study, a 1972-1973 longitudinal birth cohort assessed most recently in 2004-2005, at age 32 (n=972, 96% of 1015 cohort members still alive). Work stress (psychological job demands, work decision latitude, low work social support, physical work demands) was ascertained by interview. Major depressive disorder (MDD) and generalized anxiety disorder (GAD) were ascertained using the Diagnostic Interview Schedule (DIS) and diagnosed according to DSM-IV criteria. Participants exposed to high psychological job demands (excessive workload, extreme time pressures) had a twofold risk of MDD or GAD compared to those with low job demands. Relative risks (RRs) adjusting for all work characteristics were: 1.90 [95% confidence interval (CI) 1.22-2.98] in women, and 2.00 (95% CI 1.13-3.56) in men. Analyses ruled out the possibility that the association between work stress and disorder resulted from study members' socio-economic position, a personality tendency to report negatively, or a history of psychiatric disorder prior to labour-market entry. Prospective longitudinal analyses showed that high-demand jobs were associated with the onset of new depression and anxiety disorder in individuals without any pre-job history of diagnosis or treatment for either disorder. Work stress appears to precipitate diagnosable depression and anxiety in previously healthy young workers. Helping workers cope with work stress or reducing work stress levels could prevent the occurrence of clinically significant depression and anxiety.