(1) Background: There is a growing interest in investigating the relationship between sleep and mental health development in adolescents. This study aims to further investigate this relationship by identifying the specific associations between several sleep problems in adolescents and several mental health areas, and the role of gender in these associations. (2) Methods: Data from the Millennium cohort survey containing 11,553 individuals at 13–14 years old was included. Nighttime sleep duration and bedtime during weekdays and weekends, night awakening frequency, and sleep onset latency were assessed using self-reported questionnaires. Affective symptom and emotional and behavioural problems were examined with self-reported questionnaires. (3) Results: Regression analyses and path analysis models suggested that frequent night awakening was associated with all the outcomes, and hyperactivity/inattention was the outcome that presented a higher number of significant associations with sleep patterns. Long sleep onset latency and late bedtime at school days were associated with higher risk of emotional and behavioural difficulties. Further, poor sleep seems to manifest more externally in males, while more internally in females. (4) Conclusions: Specific sleep problems should be considered when assessing mental health in adolescence, which would allow more targeted prevention and intervention strategies. Further, special attention should be given to gender differences when addressing sleep and mental health.