Adolescents' sense of self has important implications for their mental health. Despite more than two decades of work, scholars have yet to amass evidence across studies to elucidate the role of selfhood in the mental health of adolescents. Underpinned by the conceptual model of selfhood, this meta-analytic review investigated the strength of associations of different facets of selfhood and their associated traits with depression and anxiety, moderating factors that attenuate or exacerbate these associations, and their causal influences. Using mixed-effects modeling, which included 558 effect sizes from 298 studies and 274 370 adolescents from 39 countries, our findings revealed that adolescents' self-esteem/self-concept [r = −0.518, p < 0.0001; (95% CI −0.49 to −0.547)] and self-compassion [r = −0.455, p < 0.0001; (95% CI −0.568 to −0.343)] demonstrating largest effect sizes in their associations with depression. Self-esteem/self-concept, self-compassion, self-awareness, self-efficacy, and self-regulation had similar moderate negative associations with anxiety. Meta-regressions revealed that adolescent age and type of informants (parents v. adolescents) were important moderators. Findings on causal influences indicated bidirectional causations, particularly low self-esteem/self-concept, self-awareness and self-efficacy drive higher depression and vice-versa. In contrast, the different self traits did not demonstrate specific causal direction with anxiety. These results pinpoint self traits that are pivotal in relating to adolescent mental health functioning. We discussed the theoretical implications of our findings in terms of how they advance theory of selfhood for adolescent mental health, and the practical implications of building selfhood as cultivating psychological skills for mental health.