Depression in childhood or adolescence is associated with increased rates of depression in adulthood. Does this justify efforts to detect (and treat) those with symptoms of depression in early childhood or adolescence? The aim of this study was to determine how well symptoms of anxiety/depression (A-D) in early childhood and adolescence predict adult mental health. The study sample is taken from a population-based prospective birth cohort study. Of the 8556 mothers initially approached to participate 8458 agreed, of whom 7223 mothers gave birth to a live singleton baby. Children were screened using modified Child Behaviour Checklist (CBCL) scales for internalizing and total problems (T-P) at age 5 and the CBCL and Youth Self Report (YSR) A-D subscale and T-P scale at age 14. At age 21, a sub-sample of 2563 young adults in this cohort were administered the CIDI-Auto. Results indicated that screening at age 5 would detect few later cases of significant mental ill-health. Using a cut-point of 20% for internalizing at child age 5 years the CBCL had sensitivities of only 25% and 18% for major depression and anxiety disorders at 21 years, respectively. At age 14, the YSR generally performed a little better than the CBCL as a screening instrument, but neither performed at a satisfactory level. Of the children who were categorised as having YSR A-D at 14 years 30% and 37% met DSM-IV criteria for major depression and anxiety disorders, respectively, at age 21. Our findings challenge an existing movement encouraging the detection and treatment of those with symptoms of mental illness in early childhood.