Little is known about how mental health symptoms develop during the transition to university. Most anxiety and depression research fails to consider how symptom development differs over time across different individuals, and how symptom co-occurrence influences the severity of mental health problems. Students (N = 658) completed online surveys on mental health prior to starting university and every 2 months until April. To better understand mental health problems during this transitional period, latent class growth curve analyses were run to determine how anxiety and depressive symptoms co-develop over time, as well, if self-critical perfectionism was a transdiagnostic risk factor for more severe symptom trajectories in this transition. About 40% of students experienced depression and anxiety symptoms prior to entering/during the transition to university. There is substantial variation between students in terms of how they experience depression and anxiety symptoms, and research needs to take this heterogeneity into account to properly identify which students might benefit most from resources. Self-critical perfectionism was a transdiagnostic risk factor, such that students higher in this trait experienced more severe anxiety and depressive symptom trajectories during this transition. This research further implicates the importance of understanding and studying individual differences in symptom development.