Depression and anxiety disrupt daily function and their effects can be long-lasting and devastating, yet there are no established physiological indicators that can be used to predict onset, diagnose, or target treatments. In this review, we conceptualize depression and anxiety as maladaptive responses to repetitive stress. We provide an overview of the role of chronic stress in depression and anxiety and a review of current knowledge on objective stress indicators of depression and anxiety. We focused on cortisol, heart rate variability and skin conductance that have been well studied in depression and anxiety and implicated in clinical emotional states. A targeted PubMed search was undertaken prioritizing meta-analyses that have linked depression and anxiety to cortisol, heart rate variability and skin conductance. Consistent findings include reduced heart rate variability across depression and anxiety, reduced tonic and phasic skin conductance in depression, and elevated cortisol at different times of day and across the day in depression. We then provide a brief overview of neural circuit disruptions that characterize particular types of depression and anxiety. We also include an illustrative analysis using predictive models to determine how stress markers contribute to specific subgroups of symptoms and how neural circuits add meaningfully to this prediction. For this, we implemented a tree-based multi-class classification model with physiological markers of heart rate variability as predictors and four symptom subtypes, including normative mood, as target variables. We achieved 40% accuracy on the validation set. We then added the neural circuit measures into our predictor set to identify the combination of neural circuit dysfunctions and physiological markers that accurately predict each symptom subtype. Achieving 54% accuracy suggested a strong relationship between those neural-physiological predictors and the mental states that characterize each subtype. Further work to elucidate the complex relationships between physiological markers, neural circuit dysfunction and resulting symptoms would advance our understanding of the pathophysiological pathways underlying depression and anxiety.