(1) Background: The World Health Organization (WHO)-5 Well-Being Index has been used in many epidemiological studies to assess adolescent mental well-being. However, cross-country comparisons of this instrument among adolescents are scarce and, so far, no good-fitting, common invariant measurement model across countries has been reported. The present study aims to evaluate and establish a version of the WHO-5 Well-Being Index that allows for a valid cross-country comparison of adolescent self-reported mental well-being. (2) Methods: Using data from the 2018 Health Behaviour in School-aged Children study, we evaluated the measurement model and measurement invariance of the five items of the WHO-5 Well-Being Index. We used nationally representative samples of 11-, 13-, and 15-year-old adolescents (N = 74,071) from fifteen countries and regions in Europe. Measurement invariance of the WHO-5 was assessed using a series (country, gender, and age) of multi-group confirmatory factor analyses. In addition, we evaluated the convergent validity of the measure by testing its correlations with psychosomatic complaints, life satisfaction, and self-rated health. (3) Results: We found that WHO-5 does not show good psychometric properties or good measurement invariance fit. However, by excluding the first item of the scale (“I have felt cheerful and in good spirits”), the WHO-4, consisting of the other four original items, had good psychometric properties, and demonstrated good suitability for cross-national comparisons (as well as age and gender) in adolescent mental well-being. (4) Conclusions: The present study introduces the WHO-4—a revised version of the WHO-5—, that allows for a valid comparison of mental well-being across fifteen countries and regions in Europe. The WHO-4 proved to be a reliable and valid instrument to assess mental well-being in the adolescent population.