Objective: To investigate the association between ultra-processed food (UPF) consumption and internalising symptoms (IS) among adolescents. Design: It is a cross-sectional study. Paper-pencil survey was completed in classroom with information on UPF consumption, IS and selected covariates. IS were assessed with the Internalizing Symptoms sub-scale from the Social Behaviour Questionnaire (IS-SBQ). UPF was evaluated with a FFQ extracted from the Brazilian National School Health Survey. Crude and adjusted association between UPF and IS was investigated with structural equation models. Setting: Sao Paulo, SP, Brazil. Participants: A total of 2680 students, M-age = 14 center dot 85; (95 % CI 14 center dot 81, 14 center dot 88). Results: UPF consumption was associated with higher scores in IS in the crude (beta = 0 center dot 14; P < 0 center dot 001) and adjusted (beta = 0 center dot 12; P < 0 center dot 001) models. The higher the consumption of UPF, the higher is the IS score. The following variables were associated with a lower risk of UPF consumption: male sex, public school and having more meals with parents. The change in the magnitude of the standardised score was almost negligible, but the model was significantly improved with the inclusion of covariates. Conclusions: Our results provide evidence about the positive association between UPF consumption and IS among adolescents. The association, despite its low magnitude, remained significant after adjusting for potential confounders. These results are relevant considering the increase in UPF consumption worldwide and in low- and middle-income countries. Also, our study emphasises the importance of a healthy diet with a reduction in UPF consumption among adolescents.