Purpose in life consists of having a sense of meaning and purpose regarding one's activities as well as an overall sense that life is meaningful. This study reports a comprehensive assessment of the relationship of purpose in life with depression and anxiety. A meta‐analysis (total n = 66,468, total k = 99) investigated the association of purpose in life with depression and anxiety. Across samples, greater purpose in life was significantly associated with lower levels of depression and anxiety. The mean weighted effect size between purpose in life and depression was r = −0.49, [95% confidence intervals, CIs: −0.52, −0.45], p < 0.001. For the purpose in life and anxiety the mean weighted effect size was r = −0.36, [95% CIs: −0.40, −0.32], p < 0.001. The association of purpose in life with mental health was stronger for clinical populations, especially with regard to the relationship with anxiety. Both approach deficits and avoidance motivation are argued to play a role in the relationship between purpose and psychopathology, with greater purpose potentially limiting avoidance tendencies and reducing the effects of depression and anxiety. Understanding the role that purpose in life may play in depression and anxiety could help to inform current conceptualizations of these disorders and improve treatment outcomes.