Studies point to the role of sociocultural and household power dynamics in women’s risk of mental illnesses. Using the context of Mozambique, we examined the association between women’s household decision-making autonomy with probable depression and reporting symptoms of anxiety. We used the 2022–2023 Mozambique Demographic and Health Survey and applied logistic regression analysis. Our findings indicate high prevalence rates of depression (10%) and anxiety (11%) among married women. We also find that married women with the highest forms of household autonomy who take decisions alone on their health care (OR = 0.43, 95% CI = 0.32, 0.59; OR = 0.52, 95% CI = 0.38, 0.70), on making large household purchases (OR = 0.43, 95% CI = 0.28, 0.64; OR = 0.52, 95% CI = 0.35, 0.76) and visiting family members or relatives (OR = 0.36, 95% CI = 0.25, 0.51; OR = 0.64, 95% CI = 0.46, 0.89) were all less likely to report propable depression and symptoms of anxiety, respectively. Additionally, higher household wealth and employment acted as protective assets against both depression and anxiety. We recommend working to remove the sociocultural barriers to women’s autonomy while improving their socioeconomic status, such as income and employment opportunities, which will lead to a better mental health outcome and serve as an important pathway to increasing their autonomy.