The present study analyzes the mental-health consequences of stress in a sample of 1,038 adolescents (526 females and 512 males) from a Canadian prairie city. The study examined the relationship between perceived stress in family, school, and peer-group situations and four measures of psychological well-being, i.e., anxiety, depression, social dysfunction, and anergia. The moderator effects of locus of control orientation (mastery) on stress-outcome relationships were also examined, as were the sex differences in health and the perception of stress. All three sources of stress were found to be related to the four measures of mental health, with family stress having the strongest negative health impact. The health-protective role of locus of control was limited for the large part to the stresses emanating from school and peer groups. Substantial sex differences were found in the perception of family- and peer-related stresses as well as in levels of psychological distress. A tentative explanation of these differences was examined with reference to prevailing structural conditions and differences in locus of control orientation, with female adolescents showing greater externality. Implications of the results are drawn for the long-standing debate on the relative impact of stress and its sources on adolescents' psychosocial development and for a current controversy in adolescent theory between proponents of "classical" and proponents of "empirical" conceptions of adolescence.