This cross-sectional study utilizes data from a nationwide web-based survey aimed to identify the factors affecting the emotional well-being of Brazilian adolescents aged 12–17 during the period of school closures and confinement. Data collection took place from 27 June to 17 September 2020. We used the “virtual snowball” sampling method, and students from private and public schools were included. A total of 9470 adolescents were analyzed. A hierarchical logistic regression model was used to find the factors associated with reporting at least two of three self-reported problems—sadness, irritability, and sleep problems. The main proximal factor was loneliness (AdjOR = 8.12 p < 0.001). Problems related to school closures also played an important role. Regular intake of fruits and vegetables, as well as physical activity, demonstrated a positive influence on emotional well-being, while excessive screen time (AdjOR = 2.05, p < 0.001) and alcohol consumption negatively affected outcomes (AdjOR = 1.73, p < 0.001). As for distal variables, less affluent adolescents were the most affected, and males reported fewer emotional problems than females. Uncertainty regarding the disease in a context of socioeconomic vulnerability, together with rises in unhealthy behaviors and isolation from their immediate social circles, have negatively affected adolescents’ emotional status throughout the COVID-19 pandemic.