The impact of the COVID-19 pandemic on adolescent mental health is a widespread concern. However, to date, there is limited empirical evidence which can causally attribute changes to the pandemic. With the aim of overcoming some of the existing methodological limitations, the current study utilised a naturally occurring experiment within two ongoing school-based trials. Depressive symptoms, externalising difficulties (e.g., behaviour problems such as losing one's temper or hitting out), and life satisfaction were assessed at baseline and 1-year follow-up across two groups. One group entered the study in phase 1 (2018; pre-COVID-19 group; N = 6,419) and were controls as they did not experience the COVID-19 pandemic between baseline and follow-up. The second group entered the study in phase 2 (2019; COVID-19 group; N = 5,031) and were exposed to the pandemic between baseline and follow-up, therefore providing a natural experiment. Pupils were in Years 7, 8, and 9 during both phases, with approximately equal numbers of males and females. Among the key findings were: (1) The COVID-19 pandemic led to increased adolescent depressive symptoms and decreased life satisfaction; (2) If the COVID-19 pandemic had not occurred, estimates suggest that we would observe 6% fewer adolescents with high depressive symptoms which is a difference of 1.6% in prevalence (27.1% to 25.4%); (3) There was no overall effect of the COVID-19 pandemic on adolescent externalising difficulties; and (4) Girls' mental health may have been more negatively impacted by the COVID-19 pandemic than boys.