British researcher published a study in 2015, in which they tried to predict depressive or anxious states, based on the types of goals people set for themselves.
The study was based on two main theories.
Regulatory theory - which proposes that humans innately have a promotion system which promotes motivation for ideals and hopes, and a prevention system which in some ways is the system of duties and obligations. Systems that motivate us either to strive for something we perceive as good, or to avoid a potential disaster in the future.
Self- Determination Theory is possibly the most well-researched and grounded psychological theory relating to motivation. Along with other things, it proposes different types of motivation ranging from highly extrinsic motivation, in which a person only does something to get an external reward or avoid punishment, to intrinsic motivation in which the activity itself is seen as rewarding.
They proposed that individuals that exhibited depressive symptoms, would be less motivated to pursue intrinsically motivating goals. They also thought individuals with anxious symptoms would be more inclined to pursue preventive goals - external in nature.
After letting lots of college students go through a bunch of surveys, that was also what they found in their study.
Although they never proved any causal link between types of goals that people set for themselves, and their proclivity to have mental health problems, it might be interesting to take a look at your own goals and ask yourself what types of goals you set for yourself.
Alison Winch, Nicholas J. Moberly & Joanne M. Dickson(2015)Unique associations between anxiety, depression and motives for approach and avoidance goal pursuit,Cognition and Emotion,29:7,1295-1305