Despite the significant impact of the COVID–19 pandemic on various factors related to adolescent mental health problems such as stress, sadness, suicidal ideation, and suicide attempts, research on this topic has been insufficient to date. This study is based on the Korean Youth Risk Behavior Web–based Survey from 2006 to 2022. We analyzed the mental health problems of adolescents based on questionnaires with medical interviews, within five income groups and compared them with several risk factors. A total of 1,138,804 participants were included in this study, with a mean age (SD) of 15.01 (0.75) years. Of these, 587,256 were male (51.57%). In 2022, the recent period from the study, the weighted prevalence of stress in highest income group was 40.07% (95% CI, 38.67–41.48), sadness was 28.15% (26.82–29.48), suicidal ideation was 13.92% (12.87–14.97), and suicide attempts was 3.42% (2.90–3.93) while the weighted prevalence of stress in lowest income group was 62.77% (59.42–66.13), sadness was 46.83% (43.32–50.34), suicidal ideation was 31.70% (28.44–34.96), and suicide attempts was 10.45% (8.46–12.45). Lower income groups showed a higher proportion with several risk factors. Overall proportion had decreased until the onset of the pandemic. However, a significant increase has been found during the COVID–19 pandemic. Our study showed an association between household income level and the prevalence of mental illness in adolescents. Furthermore, the COVID–19 pandemic has exacerbated mental illness among adolescents from low household income level, underscoring the necessity for heightened public attention and measures targeted at this demographic.