Adolescence is often a challenging time in which psychiatric issues have a strong connection to mental health disorders later in life. The early identification of the problems can reduce the burden of disease. To date, the effective identification of adolescents at risk of developing mental health problems remains understudied. Altogether, the interaction between circulating cell-free mtDNA (ccf-mtDNA) and inflammatory cytokines in adolescents is insufficiently understood regarding experienced mental health difficulties. Our study selected the participants based on the Strength and Difficulty Questionnaire (SDQ) score using the cut-off points of 3 and 18 for the low and the high score groups, respectively. The answers of the SDQ at the age of 12.2–15.7 years contributed to the investigation of (i) whether ccf-mtDNA units are associated with cytokines, and (ii) if an interaction model for predicting risk of mental health issues is observed. We discovered a sex-specific correlation between the screened markers associated with mental health problems in the low and high SDQ score groups among the male participants and in the low SDQ score group among the female participants. The mitochondrial MT-ND4 and MT-CO1 genes correlated significantly with interleukin-12p70 (IL-12p70) in males and with monocyte chemoattractant protein-1 (MCP-1) in females. Due to the nature of the explorative study, the studied markers alone did not indicate statistical significance for the prediction of mental health problems. Our analysis provided new insight into potential plasma-based biomarkers to predict mental health issues.