Early adulthood, between 18 and 25, is viewed as a decisive period of life for the prevention and treatment of anxiety and depression. Although the topic of their mutual relationship is well-known, little has been uncovered about the mechanism underlying this connection. To understand the indirect pathways between anxiety and depression, we chose the sense of meaning of life as a mediator because people’s beliefs that their lives are or can be purposeful may protect against depression. The sample was composed of 277 Polish young adults. A small majority of the participants were women (58.8%). The mean age was M = 22.11 (SD = 1.72). We used in the research the Direct Behavior Rating-Scale Items Scale, the Meaning in Life Questionnaire, and the Brief Screen for Depression. Correlational analysis showed that, consistent with past findings, anxiety correlated positively with depression and searching for meaning. It was also negatively associated with presence of meaning. Moreover, depression was negatively linked to presence of meaning and positively with searching for meaning. Regression-based mediation analyses (PROCESS macro 3.4) proved that the relationship between anxiety and depression was mediated by presence of meaning in life, suggesting that having a sense of meaning may be a pathway by which feelings of tension relative to adverse events protect against depression.