This study assessed the psychometric properties of standard Western-derived instruments, the prevalence of depression and anxiety symptoms, and their associations with sociodemographic and wellbeing variables in a large sample of Kenyan adolescents. Self-report measures of depression (PHQ-8) and anxiety (GAD-7) symptoms, social support, gratitude, happiness, optimism, and perceived control were administered to 2,192 Kenyan youths (57.57% female) aged 12–19. Both the PHQ-8 (α = 0.78) and GAD-7 (α = 0.82) showed adequate internal consistency. EFA with a sub-sample (N = 1096) yielded a 1-factor structure for both PHQ-8 and GAD-7, a subsequent CFA conducted on the basis of a 1-factor model on another sub-sample (N = 1096) yielded good and moderate goodness of fit, respectively, for the PHQ-8 (χ2 = 76.73; p < 0.001; RMSEA = 0.05; CFI = 0.96; TLI = 0.95) and the GAD-7 (χ2 = 88.19; p < 0.001; RMSEA = 0.07; CFI = 0.97; TLI = 0.95). Some 28.06% and 30.38% of participants met the clinical cut-off for depressive and anxiety symptoms, respectively. Social support, gratitude, happiness, and perceived control were negatively associated with both depression and anxiety symptoms. Older adolescents reported higher symptoms while adolescents with more siblings reported lower symptoms. The western-derived PHQ and GAD met conventional psychometric standards with adolescents in Kenya; depression and anxiety symptoms showed relatively high prevalence and significant associations with important psychosocial and sociodemographic factors.