Anxiety and depression are two of the most pressing mental health issues, particularly among young adults. Given the success of neural networks for predictive modeling, we developed novel neural network models for classifying anxiety and depression using Substance Abuse and Mental Health Services Administration’s Mental Health Client- Level Data (SAMHSA MH-CLD) on 382,174 young adults (15 to 24 years old). The SAMHSA MH-CLD included mental health and general background data collected in 2020 for individuals reporting to state-accredited hospital service centers across the United States. The neural networks were trained on 10% randomized k-folds of the dataset and tested on the remaining 90% for each fold. We found that neural network models predicted anxiety and depression with high accuracy (91.5% to 94.2% accuracy, 8.4% to 3.1% loss), outperforming conventional statistical models. Additionally, for all tested variable sets, our neural network model outperformed expectations for the average therapist consultation (46% to 50% accuracy), as reported previously. For the optimal neural network model with the highest accuracy, the variables most correlated with anxiety and depression were age, education, gender, race, employment, marital status, and stressor events, not accounting for redundant and minimally correlated variables. The effectiveness of our neural network model indicates that it can be implemented alongside therapists in clinical environments to improve psychiatric diagnosis among young adults.