Screen media use is associated with mental health problems among adolescents. However, few studies have examined screen media use using contemporaneous time diaries (rather than retrospective reports), compared associations across specific screen media activities or by gender, or examined associations with self-harm behaviors. Participants were 13- to 15-year-old adolescents completing time diaries (n = 4,252) for one weekday and one weekend day in the 2015 administration of the Millennium Cohort Study, a nationally representative birth cohort study of UK adolescents. Participants also completed a measure of depressive symptoms and reported whether they had engaged in self-harm in the last year. Girls who spent 2 + hrs/day, compared to < 2 h/day, on digital media were more likely to self-harm (for social media use, adjusted relative risk [ARR] for self-harm = 1.46, 95% CI = 1.17, 1.82; for internet use, ARR = 1.80 [1.20, 2.70]). Girls spending more time on digital media were also more likely to be depressed (for social media, ARR = 1.29 [1.03, 1.63]; for internet use, ARR = 1.75 [1.19, 2.59]). Associations with gaming, texting/e-mailing, and TV/video watching among girls were mostly not significant. Associations for boys were mostly not significant. Girls who use digital media (especially social media and the internet) more hrs/day are more likely to have clinically significant levels of depressive symptoms and prior history of self-harm, though gaming, texting/e-mailing, and TV/video watching showed few associations. Screen media use was mostly not significantly associated with self-harm or depression among boys.