The purpose of this study is to investigate the interests and preferences of adolescent students for a mental health application for anxiety and depression, given the lack of previous studies. Combining the data of modern international literature and empirical research on the most common mental health problems in adolescence, anxiety and depression, and on the technological interventions in the field of mental health, the study focuses on applications. The findings presented high rates of anxiety and depression in adolescents, especially among girls, and high rates of correlation for these two mental health problems. In addition, adolescents reported some interest for the use of an application for anxiety and depression, which almost doubled with the presupposition of a mental health professional recommendation for this application. High preference was reported for features related to access, reliability, function/content, security, and personalization of the application. Lower preference was reported for features related to the user's social interaction with others (mental health professionals, peers) and for issues regarding the option of concealing the application on the smartphone. A deeper look into these findings revealed differences in the rates of anxiety and depression in relation to the level of interest and preference of the adolescents for some features of the application. Finally, on the basis of the above findings, the design of a mental health application for adolescents with anxiety and depression symptoms, "CALMA", is recommended.