This study reports time-trend changes in self-reported mental health problems, smoking, and alcohol habits among Finnish adolescents over a 16-year period using three cross-sectional studies with similar designs, methodologies, and geographical recruitment areas. There were 4508 participants with a mean age of 14.4 years (range 13–18) in 1998 (n = 1449), 2008 (n = 1560), and 2014 (n = 1499). The information they provided on their mental health was measured with the Strengths and Difficulties Questionnaire and they were also asked questions about their alcohol and smoking habits. The findings showed that from 1998 to 2014 females reported less hyperactivity and conduct problems and males reported fewer peer problems and better prosocial skills. The only mental health problem that showed a significant increase was emotional symptoms among females. Smoking and alcohol use consistently decreased in males and females during the 16-year period. Our findings suggest that overall adolescent’s self-reported mental health problems were either stable or falling, indicating increased well-being. The decreased smoking indicates that anti-smoking campaigns have been successfully changing teenagers’ attitudes towards smoking. The important finding is that self-reported emotional symptoms had increased in females. This may indicate an increase or earlier onset of affective disorders.