INTRODUCTION: Diagnoses of anxiety and/or depression are common in subjects at Ultra-High Risk for Psychosis (UHR) and associated with extensive functional impairment. Less is known about the impact of affective comorbidities on the prospective course of attenuated psychotic symptoms (APS). METHOD: Latent class mixed modelling identified APS trajectories in 331 UHR subjects assessed at baseline, 6, 12, and 24 months follow-up. The prognostic value of past, baseline, and one-year DSM-IV depressive or anxiety disorders on trajectories was investigated using logistic regression, controlling for confounders. Cox proportional hazard analyses investigated associations with transition risk. RESULTS: 46.8% of participants fulfilled the criteria for a past depressive disorder, 33.2% at baseline, and 15.1% at one-year follow-up. Any past, baseline, or one-year anxiety disorder was diagnosed in 42.9%, 37.2%, and 27.0%, respectively. Participants were classified into one of three latent APS trajectory groups: (1) persistently low, (2) increasing, and (3) decreasing. Past depression was associated with a higher risk of belonging to the increasing trajectory group, compared to the persistently low (OR = 3.149, [95%CI: 1.298-7.642]) or decreasing group (OR = 3.137, [1.165-8.450]). In contrast, past (OR = .443, [.179-1.094]) or current (OR = .414, [.156-1.094]) anxiety disorders showed a trend-level association with a lower risk of belonging to the increasing group compared to the persistently low group. Past depression was significantly associated with a higher risk of transitioning to psychosis (HR = 2.123, [1.178-3.828]). CONCLUSION: A past depressive episode might be a particularly relevant risk factor for an unfavorable course of APS in UHR individuals. Early affective disturbances may be used to advance detection, prognostic, and clinical strategies.