Mental health is a critical concern for engineering students that significantly impact their academic success. Indeed, engineering students are more likely to experience poorer mental health—higher levels of anxiety and depression—than their peers in other academic disciplines (Jensen & Cross, 2019). This can consequently result in decreased academic engagement and an increased likelihood of dropping out or transferring to other fields. Despite the importance of engineering student mental health and engagement, limited research offers a longitudinal perspective on factors influencing student engagement in engineering classes. This intensive longitudinal study investigates how students' state anxiety and depression relate to their emotional and cognitive engagement in an engineering dynamics class. We also explore whether perceived support from instructors and peers can mitigate the negative effects of mental health on engagement. Participants included 79 engineering students enrolled in an engineering dynamics class in a southern university in the United States. After recruitment, they completed an online background questionnaire and daily online surveys over 12 consecutive class days spanning six weeks. Using 680 observations, we conducted a multivariate multilevel analysis. Results showed that both state anxiety and depression were negatively related to emotional engagement, but only state depression was negatively associated with cognitive engagement. While perceived support from instructors and peers was positively related to both emotional and cognitive engagement, we did not find a significant moderating effect of perceived support. Despite the nonsignificant moderating role of perceived support, the results of this study can inform efforts to improve support systems for engineering students and enhance their overall well-being.