Background: Psychological distress is common among patients with cardiovascular disease and adversely affects secondary prevention. We investigated whether depressive and anxiety symptoms, identified by guideline-recommended ultra-brief screening instruments, were associated with blood pressure (BP) control after hospital discharge, with particular attention to sex. Data in very high-risk populations remain limited. Methods: In this prospective observational single-center study, 305 consecutive hospitalized cardiovascular patients (mean age 63.9 years, 62.6% men, 79.3% at very high cardiovascular risk) underwent screening for depressive and anxiety symptoms using the Patient Health Questionnaire-2 (PHQ-2) and Generalized Anxiety Disorder-2 (GAD-2). BP control was assessed at discharge and at routine follow-up after a median of 36.0 (32.5–39.5) days using ambulatory or home BP monitoring. Clinical, echocardiographic and psychosocial characteristics were analyzed. Results: Depressive and anxiety symptoms were identified in 31.1% and 29.2% of patients, respectively. Depressive symptoms were more prevalent in women. BP target achievement declined from 78.4% at discharge to 49.5% during follow-up. PHQ-2 ≥ 3 was independently associated with lower odds of achieving BP targets (OR 0.12, 95% CI 0.06–0.23; p < 0.001), together with overweight/obesity (OR 0.20, 95% CI 0.09–0.42; p < 0.001), while male sex was independently associated with better BP control (OR 2.06, 95% CI 1.12–3.77; p = 0.02). Female sex, overweight/obesity, chronic kidney disease, loneliness, and poor sleep quality were associated with PHQ-2 ≥ 3. Conclusions: Female sex and depressive symptoms were independently associated with a lower likelihood of achieving guideline-recommended BP targets during early post-discharge follow-up. These findings highlight the potential utility of brief psychological screening to identify patients at increased risk after discharge.