Background Preterm birth is associated with an increased risk of depression and anxiety, but it is not known if this is due to greater exposure to risk, or if perinatal adversity amplifies the impact of traditional risk factors. This study sought to determine if exposure to perinatal adversity modifies associations between traditional risk and resilience factors and depression and anxiety in adulthood. Methods A sample of 142 extremely low‐birth‐weight (ELBW < 1,000 g) survivors and 133 sociodemographically matched normal birth weight (NBW) control participants was followed longitudinally to 22–26 years of age. Separate postnatal risk and resilience scales were created using eight risk and seven resilience factors, respectively. Depression and anxiety were assessed using the internalizing scale of the Young Adult Self‐Report (YASR). This scale was also dichotomized at the 90th percentile to define clinically significant psychopathology. Results While the average number of risk exposures did not differ between groups, ELBW survivors were more susceptible to risk than NBW control participants. For the ELBW group, each additional risk factor resulted in a 2‐point increase in internalizing scores, and two and a half times the odds of clinically significant internalizing symptoms (OR = 2.47, 95% CI = 1.63, 3.76). The protective effect of resiliency factors was also blunted among ELBW survivors. Conclusions Extremely low‐birth‐weight survivors may be more sensitive to traditional risk factors for psychopathology and less protected by resiliency factors. Intervention strategies aimed at preventing or reducing exposure to traditional childhood risk factors for psychopathology may reduce the burden of mental illness in adult survivors of prematurity.