Air pollution is a worldwide environmental health issue. Increasingly, reports suggest that poor air quality may be associated with mental health problems, but these studies often use global measures and rarely focus on early development when psychopathology commonly emerges. To address this, we combined high-resolution air pollution exposure estimates and prospectively-collected phenotypic data to explore concurrent and longitudinal associations between air pollutants of major concern in urban areas and mental health problems in childhood and adolescence. Exploratory analyses were conducted on 284 London-based children from the Environmental Risk (E-Risk) Longitudinal Twin Study. Exposure to annualized PM2.5 and NO2 concentrations was estimated at address-level when children were aged 12. Symptoms of anxiety, depression, conduct disorder, and attention-deficit hyperactivity disorder were assessed at ages 12 and 18. Psychiatric diagnoses were ascertained from interviews with the participants at age 18. We found no associations between age-12 pollution exposure and concurrent mental health problems. However, age-12 pollution estimates were significantly associated with increased odds of major depressive disorder at age 18, even after controlling for common risk factors. This study demonstrates the potential utility of incorporating high-resolution pollution estimates into large epidemiological cohorts to robustly investigate associations between air pollution and youth mental health.