The purpose of the present study was to assess the prevalence of depression and anxiety in women with infertility, elucidate the psycho-social factors affecting infertile women, identify the commonly employed coping strategies, and evaluate their self-esteem and quality of life. A total of 150 women with infertility, from a tertiary care hospital, participated in this study. Cross-sectional assessment was performed by using the Hamilton Depression Rating Scale and Hamilton Anxiety Rating Scale, Rosenberg Self-Esteem Scale, WHO-Quality of life-BREF, and Brief-COPE Inventory. Overall, 58% (87/150) of women reported depression on HDRS, 24% (36/150) reported anxiety on HAM-A, and 24% (36/150) had both depression and anxiety on HDRS and HAM-A. Comparative analysis of women reporting depression and anxiety indicated that they were subjected to significant discrimination, received lower social acceptance, had financial problems, higher depression and anxiety, poorer quality of life, and employed maladaptive coping. Living in a joint family, and using maladaptive coping were significant risk factors for anxiety and depression. Conversely, the family's ability to provide support, share problems, and assist with decision-making, along with receiving support from their spouses, were chief protective factors. Women with infertility experience depression, anxiety, poor quality of life, and employ maladaptive coping. Supportive relationships with one's family and spouse are chief protective factors.