Among patients seeking care for musculoskeletal conditions, there is mixed evidence regarding whether traditional, structure-based care is associated with improvement in patients' mental health. To determine whether improvements in physical function and pain interference are associated with meaningful improvements in anxiety and depression symptoms among patients seeking musculoskeletal care. This cohort study included adult patients treated by an orthopedic department of a tertiary care US academic medical center from June 22, 2015, to February 9, 2022. Eligible participants presented between 4 and 6 times during the study period for 1 or more musculoskeletal conditions and completed Patient-Reported Outcomes Measurement Information System (PROMIS) measures as standard care at each visit. PROMIS Physical Function and Pain Interference scores. Linear mixed effects models were used to determine whether improvements in PROMIS Anxiety and PROMIS Depression scores were associated with improved PROMIS Physical Function or Pain Interference scores after controlling for age, gender, race, and PROMIS Depression (for the anxiety model) or PROMIS Anxiety (for the depression model). Clinically meaningful improvement was defined as 3.0 points or more for PROMIS Anxiety and 3.2 points or more for PROMIS Depression. Among 11 236 patients (mean [SD] age, 57 [16] years), 7218 (64.2%) were women; 120 (1.1%) were Asian, 1288 (11.5%) were Black, and 9706 (86.4%) were White. Improvements in physical function (β = -0.14; 95% CI, -0.15 to -0.13; P < .001) and pain interference (β = 0.26; 95% CI, 0.25 to 0.26; P < .001) were each associated with improved anxiety symptoms. To reach a clinically meaningful improvement in anxiety symptoms, an improvement of 21 PROMIS points or more (95% CI, 20-23 points) on Physical Function or 12 points or more (95% CI, 12-12 points) on Pain Interference would be required. Improvements in physical function (β = -0.05; 95% CI, -0.06 to -0.04; P < .001) and pain interference (β = 0.04; 95% CI, 0.04 to 0.05; P < .001) were not associated with meaningfully improved depression symptoms. In this cohort study, substantial improvements in physical function and pain interference were required for association with any clinically meaningful improvement in anxiety symptoms, and were not associated with any meaningful improvement in depression symptoms. Patients seeking musculoskeletal care clinicians providing treatment cannot assume that addressing physical health will result in improved symptoms of depression or potentially even sufficiently improved symptoms of anxiety.