Extensive research suggests that poverty is associated with adolescent mental health problems. However, studies typically focus on monetary poverty and have not examined how other dimensions of poverty relate to adolescent mental health. This study examines the association between multidimensional poverty and mental health among adolescents using a Multidimensional Poverty Index. Based on data from the National Mental Health Survey in Colombia, we show that adolescents living in multidimensionally poor households have 50% higher risk of having mental health problems compared to adolescents in non-poor households. We unpack and assess the relation between each of the dimensions of poverty and mental health, and whether deprivations directly experienced by the adolescent are more strongly associated with mental health problems than deprivations experienced by other household members. Individual deprivations associated with human capital linked to schooling, work, health insurance and employment are more strongly associated with adolescent mental health problems than material deprivations. Lagging behind in school and working while studying has the strongest association with adolescent mental health problems. Results suggest that public policies that address dimensions of poverty associated with adolescents human capital accumulation may be critical to address mental health problems among adolescents.