The adolescents’ ability to discriminate between different negative emotional states is still under debate. The Depression Anxiety Stress Scales-21 (DASS-21) serves as a useful tool to unravel this issue, yet the literature on its structural validity in young people is ambiguous. Therefore, this study aimed to expand knowledge on the emotional experience of youth by investigating the factor structure and psychometric properties of the DASS-21 in Italian adolescents. Six hundred fifty-five students (60.6% girls) aged 14–18 (M = 16.3 ± 1.29) completed an online survey containing the DASS-21 and Positive and Negative Affect Schedule (PANAS). To evaluate the factor structure of the DASS-21, several alternative models were tested, also adopting an Exploratory Structural Equation Modeling (ESEM) procedure. Measurement invariance, reliability, validity, and latent means differences were addressed. The ESEM model with three correlated factors of Depression, Anxiety, and Stress yielded the best fit to the data, supporting a hierarchical structure of the DASS-21. In addition, this model was invariant across sex and age groups. The Anxiety scale predicted both positive and negative affect, while Depression predicted positive affect only. Finally, girls scored higher than boys on Anxiety and Depression, but no age differences emerged. Overall, our results indicate that anxiety, depression, and stress are distinguishable in Italian adolescents but, simultaneously, share an underlying condition of general distress, which may explain the comorbidity between internalizing problems. Such findings are discussed in terms of clinical and preventive implications for the adolescent population.