Positive leadership behaviours at work are associated with worker well-being and performance. However there is less knowledge about whether exposure to low levels of positive leadership behaviours increase workers’ risk of clinical mental disorders. We investigated whether low levels of positive leadership behaviours are prospectively associated with risk of treatment for depressive and anxiety disorders. In a cohort study, we linked survey data from 59,743 respondents from the Work Environment and Health in Denmark survey with national health register data. Leadership behaviours were measured with an eight-item scale. Treatment was defined as redeemed prescription for antidepressants or anxiolytics or hospital treatment for depression or anxiety. Using Cox proportional hazard regression, adjusting for demographic variables, job type and sector, adverse life events and childhood adversities, we estimated the association between leadership behaviours at baseline and risk of treatment during follow-up. We identified 999 cases of depression and anxiety treatment during follow-up. Compared to high levels of leadership behaviours, exposure to medium low and low levels were associated with an increased risk of treatment after adjustment for covariates. The results suggest that low levels of positive leadership behaviours are associated with an increased risk of treatment for depressive or anxiety disorders.