The Associations between Meeting 24-Hour Movement Guidelines (24-HMG) and Mental Health in Adolescents—Cross Sectional Evidence from China

(1) Background: This study determined the prevalence of adolescents that meet 24-HMGs alone and in combination, and their association with the risk of developing adolescent anxiety and depression. (2) Methods: Participants were drawn from 9420 K8 grade adolescents (age 14.53 ± 0.69 years; 54.78% boys) from the China Education Tracking Survey (CEPS) 2014–2015 tracking data. Data on depression and anxiety were collected from the results of the questionnaire in the CEPS for the adolescent mental health test. Compliance with the 24-HMG was defined as: physical activity time (PA) ≥ 60 min/day was defined as meeting the PA. Screen time (ST) ≤ 120 min/day was defined as meeting the ST. Adolescents aged 13 years achieved 9–11 h of sleep per night and adolescents aged 14–17 years achieved 8–10 h of sleep per night, defined as meeting sleep. Logistic regression models were used to examine the association between meeting and not meeting the recommendations and the risk of depression and anxiety in adolescents. (3) Results: Of the sample studied, 0.71% of adolescents met all three recommendations, 13.54% met two recommendations and 57.05% met one recommendation. Meeting sleep, meeting PA+ sleep, meeting ST + sleep, and meeting PA + ST + sleep were associated with a significantly lower risk of anxiety and depression in adolescents. Logistic regression results showed that differences in the effects of gender on the odds ratio (ORs) for depression and anxiety in adolescents were not significant. (4) Conclusions: This study determined the risk of developing depression and anxiety in adolescents who met the recommendations for 24-HMG alone and in combination. Overall, meeting more of the recommendations in the 24-HMGs was associated with lower anxiety and depression risk outcomes in adolescents. For boys, reducing the risk of depression and anxiety can be prioritised by meeting PA + ST + sleep, meeting ST + sleep and meeting sleep in the 24-HMGs. For girls, reducing the risk of depression and anxiety may be preferred by meeting PA + ST + sleep or meeting PA+ sleep and meeting sleep in 24-HMGs. However, only a small proportion of adolescents met all recommendations, highlighting the need to promote and support adherence to these behaviours.