Although sex differences in mental health have been recognized, there is no conclusive evidence on the interactive effects of school setting and sex on adolescent mental health. Therefore, this study aimed to investigate sex differences in depression and anxiety in adolescents in school and home settings and to explore possible related factors based on a follow-up study.This study was designed for two rounds of surveys, with a two-month interval between each round. The first round of survey was conducted from November 22, 2019 to January 4, 2020 and the second round was from March 21, 2020 to March 31, 2020. 14,241 participants were recruited at school (T1) in the first round and 10,768 at home (T2) in the second round. Adolescents completed surveys at T1 and T2, including the 9-item Patient Health Questionnaire, the 7-item Generalized Anxiety Disorder Scale, the Childhood Trauma Questionnaire, and the Connor-Davidson Resilience Scale. Logistic regression was performed to assess the odds ratios (ORs) and 95% CIs between outcomes and related factors in boys and girls.We found that girls had higher proportions of depression and anxiety symptoms than boys both in T1 and T2, although the rates of depression and anxiety decreased in girls and boys in T2 compared to T1 (both P < 0.0001) (depression: 33% vs. 46.16% for boys and 42.82% vs. 57.15% for girls; anxiety: 19.37% vs. 34.79% for boys and 27.49% vs. 42.47% for girls). The Breslow-Day test indicated that the rate of anxiety symptoms decreased more significantly from T1 to T2 in boys than in girls (OR = 0.450, 95% CI: 0.414-0.490, P = 0.0272). Further multivariable logistic regression analysis revealed that high resilience scores and good parent-child relationships were protective factors in the school setting, while emotional, physical, and sexual abuse experiences were all risk factors for depression and anxiety in both girls and boys. Notably, in the school setting, parental divorce was a risk factor for depressive symptoms in boys, having a sibling increased the risk of anxiety symptoms in boys. At the same time, experiences of emotional neglect were only a risk factor for depressive symptoms in girls, and experiences of physical neglect contributed to anxiety symptoms in girls.There were sex differences in mental health status at school and at home. Girls consistently reported higher levels of depression and anxiety than boys. In addition, boys were more likely to recover from anxiety than girls when school closure and stay-at-home.>Given sex differences in school academic stress, we assessed whether there are differences in depression and anxiety diagnoses among adolescents. >Girls had higher proportions of depression and anxiety symptoms than boys both in school and at home. >The rate of anxiety symptoms decreased more significantly from in-school to at-home in boys compared to girls. >In the school setting, for boys, parental divorce and having siblings were risk factors for mental disorders, while for girls, experiences of emotional neglect and experiences of physical neglect were risk factors for mental disorders.© 2025. The Author(s), under exclusive licence to Springer-Verlag GmbH Austria, part of Springer Nature.