Engaging in unhealthy lifestyles may be considered a risk factor for mental health problems, but there is limited evidence. This study aimed to identify the relationship between unhealthy lifestyles and mental health problems among Myanmar school-going adolescents. Global School Based Student Health Survey (GSHS) data from 2838 school-going adolescents from Myanmar were analysed. Bivariable and multivariable logistic regression analyses were applied. After adjusting for confounding variables, adolescents who were seated for more than three hours per day had higher odds of loneliness, anxiety-induced sleep disturbance, suicide ideation, and suicide attempts compared to others. Moreover, students who ate fruit less than one time per day were more likely to experience anxiety-induced sleep disturbance and suicidal ideation. Being a current drinker was significantly associated with suicidal ideation and attempt. Obese students were more likely to feel lonely compared to normal weight students. Our study indicates there is a strong association between unhealthy lifestyle behaviours and mental health problems among school adolescents in Myanmar.