Background To analyze the incidence of depression and anxiety among women newly diagnosed with breast or genital organ cancer (BC or GOC) in Germany. Methods A total of 29 366 women initially diagnosed with BC or GOC between 2005 and 2014 were available for analysis. The main outcome measure was the incidence of depression and anxiety among women newly diagnosed with BC or GOC within 5 years after the first cancer diagnosis in German gynecologist practices. Demographic and clinical data included age, type of cancer, and presence of metastases at diagnosis. The incidence rate of depression and anxiety per 100 person‐years was calculated. We performed a multivariate regression model to analyze the association between depression and the variables of interest. Results In total, 7994 women were diagnosed with depression/anxiety (81.3% had BC and 18.7% had GOC). The incidence of depression and anxiety was 8.8 per 100 person‐years in women with BC. In individuals with GOC, the incidence of depression/anxiety was 5.9 per 100 person‐years. Breast cancer was associated with a 1.41‐fold increase in the risk of developing depression or anxiety as compared with GOC. Patients with metastases also had a higher risk of being depressed and anxious than others (odds ratio = 1.40). Finally, women in the age groups of 41 to 50, 51 to 60, and 61 to 70 years were at a higher risk of depression/anxiety than women in the age group of 71 to 80 years (odds ratios equal to 1.50, 1.38, and 1.22). Conclusions Women diagnosed with BC were at a higher risk of developing depression or anxiety than women with GOC.