Providing elderly mental healthcare in Myanmar is challenging due to the growing elderly population and limited health resources. To understand common mental health problems among Myanmar elderly, this study explored the prevalence and risk factors of anxiety and depression among the elderly in the Nay Pyi Taw Union Territory, Myanmar. A cross-sectional study was conducted among 655 elderly by face-to-face interviews with a pretested questionnaire. Descriptive analysis and multiple logistic regression analyses were performed. The prevalence of anxiety and depression were 39.4% (33.5% for males and 42.4% for females) and 35.6% (33.0% for males and 36.9% for females), respectively. The adjusted odds ratio of having anxiety was significant for having low education level, having comorbidity, having BMI < 21.3, poor dental health, no social participation, and having no one to consult regarding personal problems, while that of having depression was significant for having comorbidity, having BMI < 21.3, poor vision, and having no one to consult regarding personal problems. The reported prevalence of anxiety and depression indicate the demand for mental healthcare services among Myanmar elderly. Myanmar needs to improve its elderly care, mental healthcare, and social security system to reflect the actual needs of its increasing elderly population. Screening for anxiety and depression among elderly with comorbidities should be promoted. Raising community awareness of mental health, encouraging social participation, and supportive counselling are also essential in combating anxiety and depression among Myanmar elderly.