Adolescents show one of the highest rates of ultra-processed foods and drinks (UPF) consumption, and studies indicate an association between their consumption and internalizing problems. We aim to investigate whether UPF consumption associates with dysfunctions in other psychosocial domains, as well as sex effects. In 560 Spanish adolescents (14–17 years old), we assessed the UPF products consumed in the previous day, fruits and vegetables consumption (servings/day), and physical activity (days/week). Psychosocial functioning (total and subscales) was assessed through the Pediatric Symptom Checklist–Youth self-report. Associations between UPF and psychosocial functioning were assessed using linear regression models, adjusting for sex, age, fruits and vegetables consumption, and physical activity. Sex-specific associations were also explored. Participants reported a daily consumption of 7.72 UPF servings per day, with male adolescents showing higher consumption than female adolescents. Consumption of fruits and vegetables and physical activity levels were lower than recommended. Psychosocial impairment was present in 26.2% of the participants. Higher UPF consumption was associated with higher presence of depressive symptoms and internalizing and externalizing problems in the whole sample and in male adolescents. The present study supports previous studies suggesting that UPF consumption may interact with mental health problems and indicates that these effects may go beyond internalizing problems.