This study aimed to assess the relationship between menstruation‐related attributes and mental distress in adolescent girls. A cross‐sectional study was conducted in Rangeli Municipality, Nepal, among 270 adolescent girls. Data were collected using a self‐administered questionnaire. Unadjusted and adjusted odds ratios (aOR) were calculated at a 5% level of significance to identify factors associated with depression, anxiety and stress. Of 270 adolescent girls, 28.9% (95% CI: 23.5%–35.2%) experienced anxiety, 14.4% (95% CI: 10.0%–18.5%) experienced stress and 32.2% (95% CI: 26.6%–37.4%) experienced depression. Low perceived family support during menstruation (aOR: 2.87, 95% CI: 1.03–7.97), low perceived support from friends during menstruation (aOR: 4.09, 95% CI: 1.66–10.07) and experiencing moderate/severe dysmenorrhea (aOR: 2.31, 95% CI: 1.105–5.08) were associated with anxiety. Those with moderate/severe dysmenorrhoea had higher odds (aOR: 5.60, 95% CI: 1.56–20.05) of experiencing stress. Low perceived family support (aOR: 3.07, 95% CI: 1.08–8.67), low perceived support from friends (aOR: 2.77, 95% CI: 1.11–6.89) and experiencing moderate to severe dysmenorrhoea (aOR: 3.56, 95% CI: 1.63–7.79) were associated with depression. The findings underscore the importance of proper management of dysmenorrhoea and need for social support from both family and friends during menstruation as these factors are associated with psychological distress among adolescent girls.