Physical activity, screen use, and sleep are behaviors that integrate across the whole day. However, the accumulative influence of meeting recommendations for these 24-h movement behaviors on the mental health of Alaskan adolescents has not been examined. The purpose of this study was to examine the associations between movement behaviors, loneliness, and sadness within Alaskan adolescents. Data were obtained from the 2019 Alaska Youth Risk Behavior Survey (YRBS). The number of adolescents participating in the 2019 Alaska YRBS was 1897. Associations between meeting recommendations for movement behaviors with loneliness and sadness were examined using weighted logistic regression models, adjusted for age, sex, race/ethnicity, and body mass index (BMI). Approximately 5.0% of the sample met recommendations for all three movement behaviors. Meeting 2 or 3 movement behavior recommendations was associated with lower odds of loneliness (odds ratio (OR) range = 0.23 to 0.44, p < 0.01). Additionally, meeting 1 to 3 movement behavior recommendations was associated with lower odds of sadness (OR range = 0.29 to 0.52, p < 0.05). Joint association analyses determined that these relationships were primarily driven by meeting the sleep recommendation for loneliness and meeting the screen use recommendation for sadness. The results support use of multiple movement-based behavior programming to attenuate feelings of loneliness and sadness within Alaskan adolescents.