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Background: Growing evidence indicates high comorbid anxiety and depression in patients with asthma. However, the mechanisms underlying this comorbid condition remain unclear. The aim of this study was to investigate the role of inflammation in comorbid anxiety and depression in three asthma patient cohorts of the Unbiased Biomarkers for the Prediction of Respiratory Disease Outcomes (U-BIOPRED) project. Methods: U-BIOPRED was conducted by a European Union consortium of 16 academic institutions in 11 European countries. A subset dataset from subjects with valid anxiety and depression measures and a large blood biomarker dataset were analysed, including 198 non-smoking patients with severe asthma (SAn), 65 smoking patients with severe asthma (SAs), 61 non-smoking patients with mild-to-moderate asthma (MMA), and 20 healthy non-smokers (HC). The Hospital Anxiety and Depression Scale was used to measure anxiety and depression and a series of inflammatory markers were analysed by the SomaScan v3 platform (SomaLogic, Boulder, Colo). ANOVA and the Kruskal-Wallis test were used for multiple-group comparisons as appropriate. Results: There were significant group effects on anxiety and depression among the four cohort groups (p < 0.05). Anxiety and depression of SAn and SAs groups were significantly higher than that of MMA and HC groups (p < 0.05. There were significant differences in serum IL6, MCP1, CCL18, CCL17, IL8, and Eotaxin among the four groups (p < 0.05). Depression was significantly associated with IL6, MCP1, CCL18 level, and CCL17; whereas anxiety was associated with CCL17 only (p < 0.05). Conclusions: The current study suggests that severe asthma patients are associated with higher levels of anxiety and depression, and inflammatory responses may underlie this comorbid condition.