Used data from the Portuguese HBSC (Health Behaviour in School-Aged Children) survey, which was conducted by one of the authors who is the national representative of the European Study HBSC, a World Health Organisation collaborative study (Currie, Hurrelmann, Setterbulte, Smith, & Todd, 2000; Matos, Simoes, Carvalhosa, Reis & Canha 2000), to examine correlates of depression and anxiety in a large, representative sample of adolescents. The study had four aims: (1) to examine the relationship between feelings of anxiety and depression; (2) to examine the association of positive peer relationships, and anxiety and depression in school-age adolescents; (3) to examine the relationship between health, peer relationships, depression and anxiety; and finally, (4) to assess age and gender differences with regard to the above issues. Measures were constructed of depression, anxiety, peer relationships, and health. Consistent with previous studies, anxiety and depression were found to be significantly correlated. A MANOVA revealed that females and adolescents in grades 8 and 10 were more likely to report high anxiety and/or depressive symptoms. High anxiety and depression in adolescence was associated with poor peer relationships and poorer health. Implications of these results and directions for further research are discussed. (Contains 1 table.)