The influx of immigrants into Korea has increased in recent years, affecting Korean society and the healthcare system. This study analyzed the frequency of anxiety and depression in immigrants, which negatively affects their quality of life. We analyzed data from a 2020 survey on the Health Rights of Migrants and the Improvement of the Medical Security System. Bivariate analyses and a multiple logistic regression model were used to identify the risk factors associated with the presence of anxiety or depression among immigrants. We included 746 immigrants, 55.9% of whom were female. The overall rate of anxiety or depression was 31.77%, with 38.3% in females, which was significantly higher than the 26.62% in males. The frequency of anxiety and depression was also strongly associated with certain immigrant groups, including immigrants of African or Western Asian origin (over 64%); those with student visas (60.53%); those who self-reported poor health (52%), physical or mental disabilities (69.23%), or chronic diseases (58.43%); and those facing difficulties accessing medical services (59.47%). This study showed the frequency of feelings of anxiety or depression and associated risk factors among immigrants. These findings may have implications for policymakers in reducing the likelihood of developing anxiety or depression in the future and improving the quality of life of immigrants in Korea.