Fish and PUFA consumption are thought to play a role in mental health; however, many studies do not take into account multiple sources of PUFA. The present study analysed data from a sample of 935 randomly selected, population-based women aged 20–93 years. A validated and comprehensive dietary questionnaire ascertained the consumption of n-3 and n-6 PUFA. Another assessed fish and energy intake and provided data for a dietary quality score. The General Health Questionnaire-12 (GHQ-12) measured psychological symptoms and a clinical interview (Structured Clinical Interview for DSM-IV-TR Research Version, Non-patient edition) assessed depressive and anxiety disorders. Median dietary intakes of long-chain n-3 fatty acids (310 mg/d) were below suggested dietary target levels. The only PUFA related to categorical depressive and anxiety disorders was DHA. There was a non-linear relationship between DHA intake and depression; those in the second tertile of DHA intake were nearly 70% less likely to report a current depressive disorder compared to those in the first tertile. The relationship of DHA to anxiety disorders was linear; for those in the highest tertile of DHA intake, the odds for anxiety disorders were reduced by nearly 50% after adjustments, including adjustment for diet quality scores, compared to the lowest tertile. Those who ate fish less than once per week had higher GHQ-12 scores, and this relationship was particularly obvious in smokers. These are the first observational data to indicate a role for DHA in anxiety disorders, but suggest that the relationship between DHA and depressive disorders may be non-linear.