Objective: We investigate symptoms of anxiety and depression among women with asthma prior to fertility treatment. Methods: This is a cross-sectional study of women screened for eligibility to the PRO-ART study (RCT of omalizumab versus placebo in asthmatic women undergoing fertility treatment (NCT03727971)). All participants were scheduled for in vitro fertilization (IVF) treatment at four public fertility clinics in Denmark. Data on demographics and asthma control (ACQ-5) were obtained. Symptoms of anxiety and depression were assessed using the Hospital Anxiety and Depression Scale (HADS-A and D, respectively) and defined as being present on both subscales if a score >7 was obtained. Spirometry, diagnostic asthma test, and measurement of fractional exhaled nitric oxide (FeNO) were conducted. Results: A total of 109 women with asthma were included (mean age 31.8 ± 4.6 and BMI 25.5 ± 4.6). Most women had male factor infertility (36.4%) or unexplained infertility (35.5%). Twenty-two percent of the patients reported uncontrolled asthma (ACQ-5 score > 1.5). The mean HADS-A and HADS-D scores were 6.0 ± 3.8 (95% CI 5.3–6.7) and 2.5 ± 2.2 (95% CI 2.1–3.0), respectively. Thirty (28.0%) women reported anxiety symptoms, and four (3.7%) had concomitant depressive symptoms. Uncontrolled asthma was significantly associated with both depressive (p = 0.04) and anxiety symptoms (p = 0.03). Conclusions: More than 25% of women with asthma prior to fertility treatment had self-reported symptoms of anxiety, and just below 5% had self-reported depressive symptoms, possibly related to uncontrolled asthma.