Overweight and obesity in adolescents has become a serious public health problem worldwide and Mexico City is no exception. Therefore, the objective of this study was to investigate the epidemiological panorama of overweight and obesity related to eating habits, physical activity and the concurrent presence of depression and anxiety in adolescents from high schools in Mexico City. Anthropometric measurements were taken from 2710 adolescents from 33 participating high schools. Likewise, a previously validated eating habit and physical activity questionnaire was administered, which consisted of four different sections, where each of the sections focused on key aspects of the participants’ lifestyle: (1) eating habits, (2) intake of non-recommended foods, (3) food and company environment, and (4) physical activity. Moreover, the Hospital Anxiety and Depression Scale (HADS) for anxiety and depression was applied. In this study, a high prevalence of overweight and obesity (26.5% overweight and 20.0% obese) was found in adolescents from high schools in Mexico City. Only 13.14% of participants had adequate eating habits and 18.19% physical activity habits. An association was found between having inadequate eating habits and obesity in adolescent women (OR = 1.95; CI 1.009–3.76). Additionally, associations were observed between depression symptoms and obesity (OR = 5.68, CI 1.36–32.81; p = 0.01), while anxiety was associated with underweight and obesity adjusted by other dietary habits and psychological factors. Therefore, it is important to identify adolescents with overweight or obesity and establish prevention strategies for weight control in this age group, promoting healthy eating, physical activity and education in mental health.