Background: The 24-h movement guidelines for youth and adults recommend the specific duration of physical activity, sedentary time, and sleep duration to ensure optimal health, but little is known about its relationship to mental health indicators. The aim of the study was to explore the association between 24-h movement guidelines in adolescence and its trajectories from middle adolescence (12–17 years old) to adulthood (33–39 years old) with depression and suicidal ideation in adulthood. Methods: This prospective cohort study included individuals who participated in Waves I (1994–1995) and V (2016–2018) of the National Longitudinal Study of Adolescent Health (Add Health) in the United States. Physical activity, screen time and sleep duration were measured using questionnaires. Adults were categorized as having depression if they had a self-reported history of depression and/or prescription medication-use for depression in the previous four weeks. Suicidal ideation was assessed by a self-reported single question in both waves. Poisson regression analyses were used to estimate the incidence rate ratio (IRR) of depression and suicidal ideation at adulthood, according to meeting specific and combinations of 24-h movement guidelines at Wave I and its trajectories from adolescence to adulthood. Results: The study included 7,069 individuals (56.8% women). Adolescents who met physical activity guidelines and all three guidelines at middle adolescence had lower risk of depression (IRR = 0.84, 95%CI 0.72 to 0.98) and suicidal ideation (IRR = 0.74, 95%CI 0.55 to 0.99) at adulthood than those who did not meet any of these guidelines, respectively. Individuals who met the guidelines for screen time and all three guidelines in both adolescence and adulthood had lower risk of depression (screen time, IRR = 0.87, 95% CI 0.72 to 0.98; all three, IRR = 0.37, 95% CI 0.15 to 0.92) and suicidal ideation (screen time, IRR = 0.74, 95% CI 0.51 to 0.97; all three, IRR = 0.12, 95% CI 0.06 to 0.33) than those who never met the guidelines. Additionally, individuals who did not meet all three guidelines in adolescence but met the guidelines in adulthood had lower risk of suicidal ideation than those who never met the guidelines (IRR = 0.81, 95%CI 0.45 to 0.89). Conclusion: Our findings highlight the importance of promoting and maintaining adherence to the 24-h movement guidelines from middle adolescence to adulthood to prevent mental health problems. However, our findings must be interpreted carefully due to declared limitations, e.g., the self-reported assessments which are subject to sources of error and bias or that the dataset used to gauge meeting a guidelines (1994–1996) was made later (2016).