Objectives To evaluate the prevalence of self-perceived depression and anxiety in patients with systemic lupus erythematosus (SLE) and to explore associated factors. Methods Cross-sectional study of unselected patients with SLE (ACR-97 criteria) and controls with chronic inflammatory rheumatic diseases. Both completed the Hospital Anxiety and Depression Scale (HADS). Demographic and clinical characteristics, comorbidity, and treatments were collected, and a multivariate analysis was performed to explore factors associated with depression and anxiety in SLE. Results The study population comprised 172 patients and 215 controls. Women accounted for 93% of the patients with SLE. Fibromyalgia was recorded in 12.8% and a history of depression in 17%. According to HADS, 37.2% fulfilled the diagnostic criteria for depression and 58.7% those for anxiety; prevalence was similar in the controls (32.6% and 55.1%, respectively). Up to a third of patients with self-perceived depression were not receiving antidepressants. There was no concordance between a previous history of depression and current depression. In the multivariate model, current depression was associated with single marital status (OR 2.69; 95% CI: 1.17–6.42; p = .022), fibromyalgia (7.69; 2.35–30.72; p = .001), smoking (3.12; 1.24–8.07; p = .016), severity of SLE (0.76; 0.6–0.94; p = .016), and organ damage (1.27; 1.01–1.61; p = .042). Current anxiety was only associated with fibromyalgia (3.97; 1.21–17.98; p = .036). Conclusions Depression and anxiety are most likely underdiagnosed in SLE. Prevalence appears to be similar to that of other chronic inflammatory rheumatic diseases. Anxiety is associated with fibromyalgia, while depression is also associated with single marital status, smoking, organ damage, and severity of SLE.