Background/Objectives: Adolescents undergoing treatment for cancer face both physical and psychological challenges, including depression and anxiety, yet local prevalence data remain limited in Saudi Arabia. The primary objective was to determine the prevalence of depressive and anxiety symptoms among adolescents with cancer at a tertiary center in Riyadh; a secondary, exploratory objective was to examine associations with socio-demographic and clinical factors. Methods: A cross-sectional study was conducted at a tertiary oncology center in Riyadh. Using convenience sampling, 86 adolescents aged 12–18 years with a confirmed tumor diagnosis completed a study-developed questionnaire and the validated Arabic PHQ-9 and GAD-7; analysis was restricted to the 59 participants with malignant disease. Results: Depressive symptoms of any severity were reported by 52.5% of participants (95% CI 40.0–64.7%), and anxiety symptoms by 37.3% (95% CI 26.1–50.0%). In secondary, exploratory analyses using a clinically meaningful threshold, both depression and anxiety were significantly more common among females than males (depression: 36.8% vs. 10.0%, p = 0.027; anxiety: 52.6% vs. 10.0%, p = 0.0006); anxiety was also significantly associated with age (highest at 14–16 years; p = 0.024). Most participants had no prior formal mental health diagnosis. Conclusions: Over half of adolescents with cancer in this Saudi sample experienced depressive symptoms, and over a third experienced anxiety symptoms; female gender was associated with both outcomes, and age with anxiety specifically, though these associations remain exploratory given the small sample. These findings support routine screening for all adolescents with cancer, with particular attention to female patients.