The Epidemic–Pandemic Impacts Inventory (EPII) was developed to assess pandemic-related adverse and positive experiences across several key domains, including work/employment, home life, isolation, and quarantine. Several studies have associated EPII-assessed pandemic-related experiences with a wide range of psychosocial factors, most commonly depressive and anxiety symptoms. The present study investigated the degree to which specific types of COVID-19 pandemic-related experiences may be associated with anxiety and depression risk, capitalizing on two large, independent samples with marked differences in sociodemographic characteristics. The present study utilized two adult samples: participants (N = 635) recruited online over a 4-week period in early 2020 (Sample 1) and participants (N = 908) recruited from the student body of a large Northeastern public university (Sample 2). We employed a cross-validated, least absolute shrinkage and selection operator (LASSO) regression approach, as well as a random forest (RF) machine learning algorithm, to investigate classification accuracy of anxiety/depression risk using the pandemic-related experiences from the EPII. The LASSO approach isolated eight items within each sample. Two items from the work/employment and emotional/physical health domains overlapped across samples. The RF approach identified similar items across samples. Both methods yielded acceptable cross-classification accuracy. Applying two analytic approaches on data from two large, sociodemographically unique samples, we identified a subset of sample-specific and nonspecific pandemic-related experiences from the EPII that are most predictive of concurrent depression/anxiety risk. Findings may help to focus on key experiences during future public health disasters that convey greater risk for depression and anxiety symptoms.