The Scottish Health Survey found the number of adults with two or more symptoms of anxiety rose from 9 per cent in 2012/13 to 12 per cent in 2014/15.
Young women aged between 16 to 24 reported the highest levels of self harm at 23 per cent, compared to 18 per cent among men.
One in five of adults reported symptoms of depression last year, which is up from 14 per cent in 2008/09.
Liberal Democrat health spokesman Alex Cole Hamilton said: “The 43 per cent increase in the number of adults reporting one or more symptoms of depression underlines the need for the Scottish Government to deliver a step change in mental health services.
“These figures show rates of depression, anxiety and self-harm have increased.
“We urgently need a step change in the way we treat mental health, starting with a new strategy and record levels of funding.”
The Scottish Government is currentlty consulting on a new mental health strategy to improve care.