Knowledge on associations between ultra-high risk (UHR) for developing psychosis and on nonpsychotic psychopathology in help-seeking populations is limited with respect to differences between male and female patients. The present study tests the hypothesis that both social anxiety and depression are highly prevalent in an UHR population, particularly among women. From February 2008 to February 2010 baseline data were collected from help-seeking subjects (14–35 years) who were included in the Dutch Early Detection and Intervention Evaluation (EDIE-NL) trial. Two recruiting strategies were used: a two-stage screening strategy in a population of consecutive help-seeking and distressed subjects of secondary mental health services, and a referral strategy. This study included 201 patients with a mean age of 22.7 years. Of these, 102 (51%) were female, 58% of the patients met the criteria for clinical depression on the Beck Depression Inventory and 42% met the criteria for clinical social phobia on the Social Interaction Anxiety Scale. Women showed more depression and social anxiety than men. The results support the hypothesis that UHR is associated with depression and social anxiety, particularly in women. Screening a help-seeking population with depression and anxiety may be effective in detecting patients at UHR for developing psychosis.