Background: The recent economic recession, which began in 2007, has had a detrimental effect on the health of the adult population, but no study yet has investigated the impact of this downturn on adolescent health. This article uniquely examines the effect of the crisis on adolescents’ psychological health complaints in a cross-national comparison. Methods: Data came from the World Health Organization collaborative ‘Health Behaviour in School-aged Children’ study in 2005–06 and 2009–10. We measured change in psychological health complaints from before to during the recession in the context of changing adult and adolescent unemployment rates. Furthermore, we used logistic multilevel regression to model the impact of absolute unemployment in 2010 and its change rate between 2005–06 and 2009–10 on adolescents’ psychological health complaints in 2010. Results: Descriptive results showed that although youth and adult unemployment has increased during the economic crisis, rates of psychological health complaints among adolescents were unaffected in some countries and even decreased in others. Multilevel regression models support this finding and reveal that only youth unemployment in 2010 increased the likelihood of psychological health complaints, whereas its change rate in light of the recession as well as adult unemployment did not relate to levels of psychological health complaints. Conclusion: In contrast to recent findings, our study indicates that the negative shift of the recent recession on the employment market in several countries has not affected adolescents’ psychological health complaints. Adolescents’ well-being instead seems to be influenced by the current situation on the labour market that shapes their occupational outlook.