Background: Over the last two decades, a number of studies have highlighted the potential of psychedelic therapy. However, questions remain to what extend these results translate to naturalistic samples, and how contextual factors and the acute psychedelic experience relate to improvements in affective symptoms following psychedelic experiences outside labs/clinics. The present study sought to address this knowledge gap. Aim: Here, we aimed to investigate changes in anxiety and depression scores before versus after psychedelic experiences in naturalistic contexts, and how various pharmacological, extrapharmacological and experience factors related to outcomes. Method: Individuals who planned to undergo a psychedelic experience were enrolled in this online survey study. Depressive symptoms were assessed at baseline and 2 and 4 weeks post-psychedelic experience, with self-rated Quick Inventory of Depressive Symptomatology (QIDS-SR-16) as the primary outcome. To facilitate clinical translation, only participants with depressive symptoms at baseline were included. Sample sizes for the four time points were N = 302, N = 182, N = 155 and N = 109, respectively. Results: Relative to baseline, reductions in depressive symptoms were observed at 2 and 4 weeks. A medicinal motive, previous psychedelic use, drug dose and the type of acute psychedelic experience (i.e. specifically, having an emotional breakthrough) were all significantly associated with changes in self-rated QIDS-SR-16. Conclusion: These results lend support to therapeutic potential of psychedelics and highlight the influence of pharmacological and non-pharmacological factors in determining response. Mindful of a potential sample and attrition bias, further controlled and observational longitudinal studies are needed to test the replicability of these findings.