Various preference-based measures of health are available for use as an outcome measure in cost-utility analysis. The aim of this study is to compare two such measures EQ-5D and SF-6D in mental health patients. Baseline data from a Dutch multi-centre randomised trial of 616 patients with mood and/or anxiety disorders were used. Mean and median EQ-5D and SF-6D utilities were compared, both in the total sample and between severity subgroups based on quartiles of SCL-90 scores. Utilities were expected to decline with increased severity. Both EQ-5D and SF-6D utilities differed significantly between patients of adjacent severity groups. Mean utilities increased from 0.51 at baseline to 0.68 at 1.5 years follow-up for EQ-5D and from 0.58 to 0.70 for SF-6D. For all severity subgroups, the mean change in EQ-5D utilities as well as in SF-6D utilities was statistically significant. Standardised response means were higher for SF-6D utilities. We concluded that both EQ-5D and SF-6D discriminated between severity subgroups and captured improvements in health over time. However, the use of EQ-5D resulted in larger health gains and consequent lower cost-utility ratios, especially for the subgroup with the highest severity of mental health problems.