Poor functional status and high rates of anxiety and depression have been reported in individuals who have sustained a traumatic brain injury (TBI). However, it is unclear whether psychiatric disorders after TBI are a cause or a consequence of functional limitations. The current study aimed to investigate the temporal relationship between anxiety, depression and functional impairment following TBI. The study has a prospective, longitudinal single-group design. Anxiety and depression, assessed using the Structured Clinical Interview for DSM-IV, and functional changes, assessed with the Glasgow Outcome Scale-Extended, were measured six and 12 months post-injury in 122 individuals who had sustained a TBI (79% male, mean age 35 years, mean duration of post-traumatic amnesia 24 days, mean Glasgow Coma Scale score 9.2). Cross-lagged analyses were conducted within a structural equation modelling framework. Functional changes six months post-injury predicted depression and anxiety one year after the injury. Anxiety and depression, in turn, were not predictive of later functional status. This study adds to our understanding of the temporal relationship between depression, anxiety and functional status after TBI. The results indicate the importance of supporting brain injured individuals in coping with the functional consequences of their injury in order promote psychological well-being.