Background: There are growing concerns about the homeless and mental health issues globally. This study aims to examine the mental health situation of homelessness and the determinants of anxiety and depression of them in Hong Kong. Method: The data from the largest territory-wide study of the homeless population in 2021 was analyzed. Descriptive statistics and logistic regressions were used to investigate the association between mental health and socioeconomic variables, including demographic background, economic indicators, COVID-19 worries, government measures, and respect by others. The symptoms of depression and anxiety were assessed using Patient Health Questionnaire (PHQ) and General Anxiety Disorder (GAD). Results: The results showed that being female, food insecurity, and chronic diseases were the risk factors for anxiety and depression. A high level of respect by others was the protective factor for depression (adjusted OR 0.37, 95% CI [0.23, 0.61]) and anxiety (adjusted OR 0.40, 95% CI [0.24, 0.68]), compared to a low level of respect in the multivariate model. Conclusions: Providing medical outreach services, additional resources for social services, implementation of homeless-friendly policies, and a progressive supply of public and transitional housing would help enhance the well-being of the homeless population