This study examines longitudinal behaviour change in six key lifestyle behaviours—sleep, physical activity (PA), sedentary recreational screen time, diet, alcohol use, and tobacco use—and associations with mental health in a large study of Australian adolescents. Change between baseline (Mage = 12.7, N = 6,639) and 3-year follow up (Mage = 15.7, N = 4445) was investigated. Generalised linear mixed effects regressions modelled associations between behaviour change and later psychological distress score adjusting for baseline behaviours, baseline psychological distress, social determinants, and school clustering. Changes over time in each of the behaviours were significantly associated with later psychological distress, whereby health-promoting behaviours were associated with reduced psychological distress and vice versa. When all behaviour changes were modelled together, significant effects remained for sleep, PA, vegetable consumption, junk food and SSB consumption, alcohol, and tobacco use. Results highlight the potential benefits of behaviour modification to reduce the progression of psychological distress in adolescence.