This study sought to determine whether there was any correlation between the dietary diversity score and symptoms of major depressive disorder (MDD) and generalized anxiety disorder (GAD) in Nepali women who were of reproductive age. In a national cross-sectional population-based survey of women (15–49 years) (N = 7442) in Nepal, MDD was assessed with the PHQ-9 and GAD with the GAD-7, and dietary diversity with a 24 h food consumption recall of 10 food groups. Multinominal and logistic regression were used to estimate predictors of MDD and GAD symptoms. The prevalence of mild and moderate-to-severe MDD symptoms was 15.7% and 5.4%, respectively, and the prevalence of mild and moderate-to-severe GAD symptoms was 20.8% and 7.5%, respectively. The overall dietary diversity mean score was 4.66 (SD = 1.67). In the final multivariable model, adjusted for relevant confounders, dietary diversity was inversely associated with moderate-to-severe MDD symptoms (Adjusted Incidence Risk Ratios-AIRR: 0.90, 95% CI 0.84–0.97), and with moderate-to-severe GAD symptoms (AIRR: 0.86, 95% CI 0.80–0.92). Furthermore, in the fully adjusted regression model, pulses (Adjusted Odds Ratio-AOR: 0.77, 95% CI 0.60–0.98) and Vitamin A rich fruits and vegetables (AOR: 0.69, 95% CI 0.51–0.94) were inversely associated with MDD symptoms. In addition, Vitamin A rich fruits and vegetables (AOR: 0.57, 95% CI 0.43–0.75), dairy (AOR: 0.80, 95% CI 0.67–0.97), and pulses (AOR: 0.69, 95% CI 0.56–0.85) were inversely associated with GAD symptoms. Dietary diversity was inversely associated MDD and GAD symptoms.