Background: Improving mental health of young people is a major societal challenge. We aimed to identify risk and protective factors for depression and anxiety among young people in deprived urban areas in South America.Methods: Case-control study of adolescents (15-16 years) and young adults (20-24 years) living in deprived areas in Bogotá [Colombia], Buenos Aires [Argentina] and Lima [Peru], recruited from education and community settings between April 2021 and November 2022. We identified participants who met threshold criteria for self-reported depression or anxiety (scores of ˃ 9 on PHQ-8 and/or GAD-7), and community controls who did not. Various risk and protective factors were compared between these groups in multivariable logistic regression, testing for interactions by age group.Findings: Of 2402 eligible participants, 1437 met criteria for depression or anxiety and 965 were controls. In a multivariable model, female gender (OR 1·99, 95% CI 1·65-2·4), more life events in the previous year (OR 1·67, 95% CI 1·40-2·01) and before (OR 1·52, 95% CI 1·27-1·81), life-time consumption of sedatives (OR 2·26, 95% CI 1·65-3·14), participating in arts activities (OR 1·22 95% CI 1·01-1·48) and stronger engagement with social media (OR 1·59, 95% CI 1·34-1·89) were all independently associated with increased odds of depression and anxiety, while sports activities were associated with reduced odds (OR 0·80, 95% CI 0·67-0·96). Use of sedatives had a statistically significantly stronger association with symptoms in adolescents than in young adults.Interpretation: Policies for improving mental health in deprived urban neighbourhoods in South America and related research should consider similar factors associated with mental distress in adolescents and young adults. They include gender and life events, but also the behaviour of young people in form of drug abuse, arts activities and engagement with social media, whilst sport activities might be protective.Funding: Medical Research Council (MR/S03580X/1).Declaration of Interest: We declare no competing interests.Ethical Approval: The informed assent and consent processes for adolescents and young adults throughout the three countries were carried out either by telephone with an audio recording, by sending a photo or scan of the printed and signed document, or via an online form. Signatures were collected digitally or during an in-person meeting with potential participants. In the case of adolescents, the participants were required to give assent and for their legal guardian/parent to provide consent through the above listed methods. All participants were reimbursed for their time and participation in completing the questionnaires through vouchers or cash, equivalent to $10 US dollars in each country´s currency. The study protocol and all procedures were approved by the Institutional Review Boards (IRB) of Universidad de Buenos Aires on October 2nd, 2020, Pontificia Universidad Javeriana on November 20th, 2020 (FM-CIE-1138-20), and Universidad Peruana Cayetano Heredia on November 16th, 2020 (Constancia 581-33-20), as well as the Research Ethics Committee of Queen Mary, University of London, on November 16th, 2020 (QMERC2020/02).