The COVID Social Mobility & Opportunities (COSMO) study is a new national cohort study generating high-quality evidence about how the COVID-19 pandemic has affected socio-economic inequalities in life chances, both in terms of short- and long-term effects on education, wellbeing, and career outcomes. A representative sample of young people in England who were in Year 11 in the 2021/2022 academic year were invited to take part in the survey, with the aim of following them as they progress through the final stages of education and into the labour market. This fourth brief finds that almost half of young people (aged 16/17) are experiencing mental health problems, with differences by gender as well as pandemic experiences. Those who experienced major life events during the pandemic, such as being seriously ill and suffering from food affordability issues, were also more likely to report elevated psychological distress. There are stark patterns in signs of poor mental health by gender. [For the first brief, "Lockdown Learning," see ED625712. For the second brief, "Education Recovery and Catch Up," see ED625714. For the third brief, "Future Plans and Aspirations," see ED625715.]