Background Self-help materials can be effective for anxiety and depression in community settings, but there is little research on their use in prisons. Aim A pilot study to investigate the effectiveness of self-help materials for the treatment of anxiety and depression in an adult male prison population. Method Participants were assigned to the depression or anxiety group depending on their symptom profile. Within these groups they were randomly assigned to the intervention (received self-help immediately) or waiting list control group (received self-help after 4 weeks). Participants completed self-report outcome measures at baseline, 4 weeks and 8 weeks. Results For most of the prisoners referred into the study, anxiety, not depression, was their predominant symptom. The study suggests that prisoners can receive at least short-term benefits in anxiety reduction through a self-help booklet delivered in a healthcare setting. The effect size of the anxiety booklet intervention was large. Conclusions Self-help materials are a promising approach for people with anxiety problems in a custodial setting. Further studies are necessary to expand upon these pilot data.