An estimated 10–20% of adolescents experience mental health conditions, and most of them remain underdiagnosed and undertreated. Discovering new susceptibility biomarkers is therefore important for identifying individuals at high risk of developing mental health problems, and for improving early prevention. Here we aimed to discover plasma protein-based susceptibility biomarkers in children/adolescents aged 11–16 years at risk of developing mental health issues. Risk was evaluated on the basis of self-reported Strengths and Difficulties Questionnaire (SDQ) scores, and plasma proteomic data were obtained for individuals participating in the Spanish WALNUTs cohort study by liquid chromatography–tandem mass spectrometry. Bioinformatic analyses were performed to identify the biological processes and pathways in which the identified biomarker candidates are involved; 58 proteins were significantly associated with the SDQ score. The most prominent enriched pathways related to these proteins included immune responses, blood coagulation, neurogenesis and neuronal degeneration. This exploratory study revealed several alterations of plasma proteins associated with the SDQ score in adolescents, which opens a new avenue to develop novel susceptibility biomarkers to improve early identification of individuals at risk of mental health problems.