Background: COVID-19, first identified in Wuhan, China, in December 2019, was declared a global pandemic by the WHO on March 11, 2020, leading to over 770 million infections and 7 million deaths worldwide. In Mongolia, the first case emerged on March 10, 2020, followed by more than 1 million infections and over 2,100 deaths by 2023. The virus affects the central nervous system, manifesting as depression, anxiety, insomnia, and PTSD through biological pathways (e.g., ACE-2 receptor invasion, cytokine storm) combined with psychological stressors (e.g., fear, isolation). Global studies (WHO Mental Health Atlas 2022; Ettman et al., JAMA 2020; Huang et al., Lancet Psychiatry 2021; Xie et al., BMJ 2022) indicate a 25–40% rise in depression and anxiety during the pandemic’s first year, with 30–60% of infected individuals experiencing persistent symptoms 6–12 months post-infection. In Mongolia, cross-sectional surveys (National Center for Mental Health 2021: 28.7% moderate-to-severe depression, 22.4% high anxiety) have been conducted, but long-term prospective data remain scarce. This study evaluates longitudinal changes in depression, anxiety, insomnia, and PTSD among COVID-19 patients over 12 months, compared to a control group. Aim: To conduct long-term follow-up and comparative assessment of depression, anxiety, insomnia, and post-traumatic stress disorder (PTSD) among individuals who have had COVID-19 Materials and Methods: In this prospective cohort study, 459 adults (326 COVID-19 cases, 133 controls) were recruited from MNUMS-affiliated hospitals, Central Hospital, and the National Center for Maternal and Child Health between 2021 and 2023. Participants without baseline mental disorders underwent follow-up assessments at 14 days, 3 months, and 12 months using validated scales: PHQ-9 (depression), GAD-7 (anxiety), ISI (insomnia), and PCL-5 (PTSD). Incident cases were identified through baseline exclusion. Data were analyzed via χ² tests, t-tests, relative risk (RR) calculations, and multivariable logistic regression (p < 0.05). Results: Baseline demographics were comparable between groups (mean age 46.3 ± 13.8 years; 58.4% female). At 12 months, the COVID-19 group exhibited higher rates of depression (37.3% vs. 16.9%; RR = 2.22, 95% CI: 1.28–3.83, p = 0.003) and anxiety (28.0% vs. 11.2%; RR = 2.49, 95% CI: 1.25–4.96, p = 0.006). Insomnia was lower in the COVID-19 group (33.3% vs. 49.4%; RR = 0.67, p = 0.037), while PTSD rates remained low (<3%, p > 0.05). Adjusted odds ratios confirmed COVID-19 as an independent predictor of depression (aOR = 2.18) and anxiety (aOR = 2.41). Females and individuals aged 40–59 years were at elevated risk. Conclusions 1. In the cohort of individuals who had contracted COVID-19, levels of depression after 12 months were 2.2 times higher, levels of anxiety were 2.5 times higher, and levels of insomnia were 0.67 times lower compared to the control group. 2. Post-traumatic stress disorder was observed in 3.1% of participants 14 days post-exposure, but was not detected after 12 months; this resolution is posited to be associated with the adaptive capacity of the population. 3. COVID-19 constitutes a long-term independent risk factor for the onset of depression and anxiety.