A substantial body of evidence suggests that young people, including those at the crucial transition points between 16 and 24, now face severe mental health challenges. In this article, we analyse data from 10 waves of a major UK longitudinal household cohort study, Understanding Society, to examine the relationship between income and anxiety and depression among 16- to 24-year-olds. Using random effects logistic regression (Model 1) allowing for whether the individual was depressed in the previous period as well as sex, age, ethnicity, whether the individual was born in the UK, region, rurality, highest qualification, marital status, employment status and attrition, we find a significant and inversely monotonic adjusted association between average net equivalised household income quintiles and clinical threshold levels of depressive symptoms SF-12 Mental Component Summary (MCS score ≤45.6). This means that being in a higher income group is associated with a reduced likelihood of clinically significant depressive symptoms, allowing for observable confounding variables. Using a ‘within-between’ model (Model 2), we find that apart from among those with the very highest incomes, increases in average net equivalised household income over the course of childhood and adolescence are significantly associated with reduced symptoms of anxiety and depression as measured by a higher SF-12 MCS score. Compared with previous reviews, the data presented here provides an estimate of the magnitude of effect that helps facilitate microsimulation modelling of impact on anxiety and depression from changes in socioeconomic circumstances. This enables a more detailed and complete understanding of the types of socioeconomic intervention that might begin to address some of the causes of youth mental health problems.