Self‐disclosure is a crucial part of developing close interpersonal relationships during adolescence. In particular, sharing information with a greater depth of intimacy is thought to strengthen social bonds and thus support mental health. The current study investigated the value for different depths of self‐disclosures to close others (mothers and best friends) during adolescence and its association with mental health and well‐being. Fifty‐four girls (11.0–15.9 years) completed a forced‐choice monetary paradigm to assess value for self‐disclosures and questionnaires on mental health. Participants significantly valued (i.e., forfeited monetary reward) for disclosures to both mothers and best friends, although intimate disclosures were more “costly” than superficial disclosures. Greater value for intimate self‐disclosures to mothers was also associated with better mental health and well‐being.