Previous research suggests that effects of caffeine on behaviour are positive unless one is investigating sensitive groups or ingestion of large amounts. Children are a potentially sensitive subgroup, and especially so considering the high levels of caffeine currently found in energy drinks. The present study used data from the Cornish Academies Project to investigate associations between caffeine (both its total consumption, and that derived separately from energy drinks, cola, tea, and coffee) and single-item measures of stress, anxiety, and depression, in a large cohort of secondary school children from the South West of England. After adjusting for additional dietary, demographic, and lifestyle covariates, positive associations between total weekly caffeine intake and anxiety and depression remained significant, and the effects differed between males and females. Initially, effects were also observed in relation to caffeine consumed specifically from coffee. However, coffee was found to be the major contributor to high overall caffeine intake, providing explanation as to why effects relating to this source were also apparent. Findings from the current study increase our knowledge regarding associations between caffeine intake and stress, anxiety, and depression in secondary school children, though the cross-sectional nature of the research made it impossible to infer causality.