Having a job is an essential part of people’s development. Unemployment, on the contrary, is one of the most frustrating experiences of life with greater psychological consequences for people’s lives. In this sense, psychology has contributed to an increase in knowledge about the personal and social experience of unemployment. This article discusses indicators of anxiety and depression in unemployed people, modulating socio-demographic variables, and coping strategies involved in the higher and lower levels of anxiety and depression. For this, a sample of 244 unemployed people who are users of the Career Service Centre of the Andalusian Public Employment Service of the city of Huelva is used for a descriptive and analytical cross-sectional study. The results show that only 5.7% of the participants do not have depressive symptoms. With regards to anxiety levels, 41.3% of participants have no anxiety. Unemployed people with high anxiety and depression scores have developed maladaptive coping strategies such as substance use, self-blaming, or denial. It is necessary to assess the importance of the unemployment process and the incorporation of appropriate coping strategies that facilitate new integration in the labour market, such as planification, emotional or social support and self-distraction between others.