Background Anxiety and depression often co-occur and typically arise early in the life course. Despite the high prevalence of these conditions in low- and middle-income countries, evidence of early-life factors associated with their developmental patterns remains limited in these settings. Understanding these factors could shape prevention efforts. Methods Using the Brazil-based Pelotas 2004 Birth Cohort (n=3,815), we examined associations between socioeconomic, maternal, and child factors and previously-derived co-developmental trajectories of anxiety and depression across childhood and adolescence. The likelihood of anxiety and depression diagnoses was assessed using the Development and Wellbeing Assessment bands at ages 6, 11 and 15. Early-life factors were measured from birth to age 6. Results Previous analyses identified four anxiety and depression co-development trajectories across childhood and adolescence, characterised by stable-low (53.9%), increasing (28.1%), decreasing (15.1%) and persistent-high (2.9%) likelihood of diagnoses. Using the stable-low class as the reference, maternal depression (child aged 1) and childhood emotional/behavioural problems (age 4) were associated with all three other classes (odds ratio (OR) range for maternal depression: 2.52-5.49; for emotional/behavioural problems: 1.06-1.10). Childhood trauma was associated with decreasing (OR: 3.62, 95% CI: 2.44, 5.37) and persistent-high (OR: 3.21, 95% CI: 1.51, 6.85) classes. Low maternal education (OR: 2.90, 95% CI: 1.28, 6.54) and low support from the father of the child during pregnancy (OR: 2.77, 95% CI: 1.20, 6.42) were associated with the persistent-high class. Maternal cohabitation with a partner at birth was associated with lower odds of children being in the increasing class (OR: 0.65, 95% CI: 0.44, 0.96). Conclusion The co-development of anxiety and depression showed associations with a range of early-life factors. Some factors were associated with anxiety and depression regardless of age at onset (e.g., maternal depression), whilst others were more strongly associated with adolescent-onset (e.g., maternal cohabitation) or persistence across both developmental periods (e.g., maternal education).