Objective: Alcohol use and internalizing problems are often positively associated during adolescence and adulthood. However, the basis of this relationship remains poorly understood, and longitudinal data collected in population-based samples could improve the development of etiological models. Method: Using a prospective population-based U.K. cohort, the current study examined the relationship between frequency of drinking during adolescence (ages 13-15, N = 7,100) with problems with depression and anxiety at average age 17 years 10 months (n = 4,292). Analyses were conducted separately by sex and adjusted by the inclusion of potential individual- and familial-level confounders. Results: Among boys, drinking frequency was positively associated with later depression but not anxiety. This association was robust to adjustment for covariates/confounders. Among girls, drinking frequency was related to later depression and anxiety in univariable analyses. In multivariable analyses, only the association with depression remained after adjustment for covariates/confounders. Results were comparable across sexes, although the effect size of drinking frequency was higher among boys. Conclusions: Higher adolescent alcohol use, even at subclinical levels, is associated with an increased risk of later problems with depression but may not be associated with an aggregate measure of anxiety. Future research should consider the possibility of differential relationships between multiple measures of adolescent alcohol use and distinct internalizing outcomes later in development.