Objectives: This study examined how inmates’ personality, imprisonment status, and type of crime committed contribute to anxiety and depression in a sample of jail inmates in a Nigerian prison. Methods: A total of 252 (228 male and 24 female) participants were selected through stratified sampling technique at the Benin Prison. The mean age was 33.66 years (SD = 9.50). Anxiety and depression were measured by Hospital Anxiety and Depression Scale (HADS), while personality dimensions were measured using the Big Five Inventory (BFI) and a self-designed, semi-structured questionnaire to elicit various demographic variables. Descriptive analysis, regression analysis, one-way analysis of variance and t-test for independent sample were applied for statistical analysis. Results: The results show that neuroticism significantly independently predicted anxiety and all the personality factors, as predicator variables, jointly predicted anxiety. Further, openness to experience significantly independently predicted depression. The prison inmates who were on death row were significantly more anxious than the inmates serving the short-term prison sentence. Lastly, the inmates who were incarcerated based on violent crime were significantly more anxious than the inmates who were incarcerated based on non-violent crime. Conclusions: Mental health professionals involved in the psychological treatments of anxiety and depression of prison inmates in various correctional facilities should look out for these factors, so as to enhance stable mental health for the prison inmates.