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This study analysed the relationship between menstrual health and self-reported depression and anxiety in women and people who menstruate (PWM) (≥18 years) in Spain, from a critical gender perspective. An online survey was used to collect data in 32 healthcare centres in 2023. Descriptive and ordinal logistic regression models were performed with 1,404 participants. Menstrual bleeding of over 80 ml was associated with higher odds of more severe depression (aOR=1.61; 95%CI: 1.45-1.79; p < 0.001) and anxiety (aOR=1.67; 95%CI: 1.35-2.06; p < 0.001). Higher menstrual pain intensity was also linked to higher odds of more severe depression (aOR =  2.05; 95%CI: 1.82-2.31; p < 0.001) and anxiety (aOR=1.82; 95% CI: 1.43-2.30; p < 0.001). A higher frequency of premenstrual symptoms was associated with increased odds for more severe depression (aOR=14.54; 95% CI: 10.73-19.70; p < 0.001) and anxiety (aOR=12.95; 95%CI: 9.10-18.44; p < 0.001). In addition, higher reports of menstrual taboo, stigma and discrimination were associated with higher odds of more severe depression (aOR=2.23; 95%CI: 1.81-2.76; p < 0.001) and anxiety (aOR=2.34; 95%CI: 1.91-2.87; p < 0.001). Reports of more severe depression (aOR=2.50; 95%CI: 1.65-3.78; p < 0.001) and anxiety (aOR =  2.55; 95%CI: 1.70-3.83; p < 0.001) increased with the severity of menstrual poverty. Greater impact on social participation during menstruation was strongly associated with higher odds of more severe depression (aOR=7.41; 95%CI: 4.90-11.191; p < 0.001) and anxiety (aOR=6.69; 95%CI: 5.22-8.59; p < 0.001). Sociodemographic factors may mediate the menstrual-mental health relationship. Our study sheds light on the interplay between menstrual and mental health in our context, from a gender and social health inequities perspective.