Background Relative to depression symptoms, the role of anxiety symptoms in the development of depression and suicidal ideation has not been well established. This study aimed to identify the anxiety and depression symptoms that confer the greatest amount of risk for depression and suicidal ideation at the population level. Method The PATH through Life study is an Australian community‐based longitudinal cohort study of 7,485 younger, middle‐aged, and older adults. Adjusted population attributable risk (PAR) for incident depression and suicidal ideation after 4 years was assessed for 18 symptoms of anxiety and depression. Results Anxiety symptoms contributed greater risk overall to both depression (45%) and suicidal ideation (23%) incidence than depression symptoms (35% and 16%, respectively). Anxiety symptoms had largest PARs among younger age groups. Conclusions Prevention programs for depression and suicide should aim to reduce anxiety symptoms in addition to depression symptoms, and target individuals reporting symptoms such as worrying or irritability.