Introduction: During the COVID-19 pandemic young people are experiencing anxiety and tension associated with an unusual, unclear and unpredictable situation. Deterioration of the economic situation resulting from the pandemic, social distancing, school closure and a real threat to health and life are strong anxiety-inducing factors. Aim: The aim of the study was to determine the level of depression among adolescents and which of the factors related to the pandemic (health-related anxieties and restrictions) were the most difficult for them. We also wanted to verify the differences in depression and anxiety in girls and boys, and the relationship between anxiety, depression and health locus of control in adolescents. Method: The study covered 296 people from 17 to 19 years old. The research was carried out using the Kutcher Adolescent Depression Scale (KADS), the State-Trait Anxiety Inventory (STAI) and the Multidimensional Health Locus of Control (MHLC). Results: The results of the study indicate that the youth experience elevated levels of depression during the COVID-19 pandemic. 75% of the participants experienced depression symptoms. The severity of the perceived state of anxiety and depressive symptoms was significantly higher among adolescent girls than among boys. In addition, individuals who reported anxious thoughts about the possibility of someone in their family contracting COVID-19 experienced significantly higher levels of depressive symptoms than those who did not. Additionally, the internal health locus of control negatively correlated with both anxiety as a state and depression, while the external (chance-related) health locus of control correlated positively with depression and anxiety.