Background: Blood levels of polyunsaturated fatty acids (PUFAs) have been associated to current depression. However, it is unclear whether this association extends to remitted depression and to anxiety disorders. This study examined the relationship of PUFAs with the presence and clinical characteristics of depressive and anxiety disorders. Methods: Cross-sectional data was used from the Netherlands Study of Depression and Anxiety, including persons with current pure depressive disorder (n = 304), current pure anxiety disorder (n = 548), current comorbid depressive and anxiety disorder (n = 529), remitted depressive/anxiety disorder(s) (n = 897), and healthy controls (n = 634). Clinical characteristics included severity, subtypes, age of onset, duration of depression and anxiety and antidepressant use. Absolute values of omega-3 (N-3) and omega-6 (N-6) PUFAs and relative measures (as ratio of total Fatty Acids: the N-3:FA and N-6:FA ratio) in plasma were assessed using a nuclear magnetic resonance platform. Results: Compared to controls, current comorbid depressive and anxiety disorder patients had lower N-3 PUFA levels (Cohen's d=0.09, p = 0.012), and lower N-3:FA ratios (p = 0.002, Cohen's d = 0.11) as did current pure depressive disorder patients (Cohen's d = 0.13, p = 0.021), whereas N-6 PUFA levels were not different. No differences in PUFA levels were found between remitted patients and controls. Within patients, lower N-3 PUFA levels were only associated with higher depression severity (Beta = −0.42, p = 0.023), whereas for N-6 PUFA levels and other clinical characteristics no clear association was observed. PUFA alterations were not associated with pure anxiety. Conclusion: It can be concluded that patients with a current depressive episode (especially the more severe cases with comorbid anxiety) have circulating N-3 PUFA levels lower than those in remission and healthy controls. No relationship was detected for N-6 PUFA levels.