The purpose of the present study was to examine the associations between body mass index (BMI), waist circumference (WC), waist-to-height ratio (WHtR), and high blood pressure (HBP), and to determine which anthropometric parameters can best predict HBP among Lithuanian adolescents aged 12–15 years. Data from the survey of “Prevalence and Risk Factors of HBP in 12–15-Year-Old Lithuanian Children and Adolescents (Study 1, 2010–2012)” were used; a total of 7,457 respondents (3,494 boys and 3,963 girls) were included in this analysis. Adolescents with BP above the 90th percentile were measured on two different occasions. Logistic regression analysis was used to assess the associations and to calculate odds ratios. Receiver operating characteristic (ROC) curve analysis was used to evaluate the predictive ability of the three anthropometric parameters to predict HBP. The adjusted odds ratios (aOR) in the highest quartiles of BMI, WC, and WHtR were statistically significant for both sexes separately (reference group – the first quartile): in boys, prehypertension – 4.91, 4.09, and 1.59; hypertension – 7.96, 6.44, and 2.81; and prehypertension/hypertension – 6.85, 5.65, and 2.37, respectively; and in girls, prehypertension – 3.42, 2.70, and 1.66; hypertension – 5.71, 3.54, and 2.90; and prehypertension/hypertension – 4.62, 3.17, and 2.31, respectively). According to the analyses of the ROC curve, BMI z-score provided the largest area under the curve (AUC) value, followed by WC z-score, while WHtR z-score showed the lowest AUC value in predicting elevated BP in both sexes separately. Among Lithuanian adolescents aged 12–15 years, both anthropometric indices – BMI and WC (but particularly BMI) – showed stronger associations with HBP and were better for the prediction of HBP, compared to WHtR.