Movement behaviors have been associated with mental health. The purposes of this study were to examine the association between movement behaviors and scores of depression/anxiety among adolescents and to determine the difference in depression/anxiety associated with reallocating time between different movement behaviors. This cross-sectional study included 217 Brazilian adolescents (15 to 18 years old, 49.3% female). Adolescents wore an accelerometer for one week to assess the four-movement behaviors which include sleep, sedentary behavior (SB), light physical activity (LPA), and moderate-to-vigorous physical activity (MVPA). The depression/anxiety score was calculated by factor analysis using the 12-item General Health Questionnaire. Compositional data analyses were used to examine the association between movement behavior and the depression/anxiety score. Compositional isotemporal substitution models estimated the change in depression/anxiety score associated with reallocating 10, 30, and 60 min between movement behaviors. The composition of movement behaviors was significantly associated with depression/anxiety scores (p < 0.05). Replacing time from SB to LPA was associated with improvement in the depression/anxiety score, while the inverse was associated with an increase in this score. Replacing time of LPA with MVPA was associated with worsening in the depression/anxiety score. The 24-h time distribution of the day may play a crucial role in mental health. Compositions with more time spent in LPA at the expense of less SB are associated with improvement in the scores of depression/anxiety. The type of MVPA may moderate its effects on depression/anxiety in adolescents. Holistic interventions including the full range of movement behaviors may be a gateway to reduce the levels of depression/anxiety in adolescence.