We studied the associations and correlations between premature ejaculation (PE) and psychological disorders, such as anxiety and depression, in new perspectives with an aim of improving PE patients' treatment outcomes. Between December 2017 and December 2018, we selected 1,010 men aged over 18 years old. Self‐estimated IELT, the premature ejaculation diagnostic tool, the International Index of Erectile Function‐5, the General Anxiety Disorder‐7 and the Patients Health Questionnaire‐9 were used to measure latency time, premature ejaculation, erectile dysfunction, anxiety and depression respectively. Premature ejaculation patients were categorised into two types: lifelong PE (LPE) and acquired PE (APE). Among the 958 men evaluated, the prevalence of anxiety and depression in PE group was 82.07% (444/541) and 74.68% (404/541) respectively. Premature ejaculation patients after adjustment for age, negative association of IIEF‐5 and positive relation of PEDT score with GAD‐7/PHQ‐9 were observed (p < 0.01 for all). These associations in men with LPE were stronger than APE. Stratification of the duration of PE showed that the longer the duration is, the more the prevalence of anxiety and depression will be. Age stratification showed that under the impact of PE, young men tend to have severe psychological problems.