Objective The objective of this study was to determine the burden of depressed mood and anxiety in COVID‐19, and associated disease characteristics. Materials and Methods This is a prospective, cross‐sectional study of 114 COVID‐19 positive patients diagnosed using RT‐PCR‐based testing over a 6‐week period. The two‐item Patient Health Questionnaire (PHQ‐2) and the two‐item Generalized Anxiety Disorder questionnaire (GAD‐2) were used to measure depressed mood and anxiety level, respectively, at enrollment and for participants' baseline, pre‐COVID‐19 state. Severity of smell loss, loss of taste, nasal obstruction, rhinorrhea/mucus production, fever, cough, and shortness of breath (SOB) during COVID‐19 were assessed. Results PHQ‐2 and GAD‐2 significantly (P < .001) increased from baseline to enrollment. PHQ‐2 was associated with smell loss (adjusted incidence rate ratio aIRR = 1.40, 95% CI, 1.10–1.78, P = .006), age (aIRR = 1.02, 95% CI, 1.01–1.04, P = .006), and baseline PHQ‐2 score (aIRR = 1.39, 95% CI, 1.09–1.76, P = .007). GAD‐2 score was associated with smell loss (aIRR = 1.29, 95% CI, 1.02–1.62, P = .035), age (aIRR = 1.02, 95% CI, 1.01–1.04, P = .025) and baseline GAD‐2 score (aIRR = 1.55, 95% CI, 1.24–1.93, P < .001). Loss of taste also exhibited similar associations with PHQ‐2 and GAD‐2. PHQ‐2 and GAD‐2 scores were not associated with severities of any other symptoms during the COVID‐19 course. Conclusions Despite the occurrence of symptoms—such as SOB—associated with severe manifestations of COVID‐19, only the severities of smell and taste loss were associated with depressed mood and anxiety. These results may raise the novel possibility of emotional disturbance as a CNS manifestation of COVID‐19 given trans‐olfactory tract penetration of the central nervous system (CNS) by coronaviruses. Level of Evidence 3 Laryngoscope, 130:2520–2525, 2020