Background: Many young people with anxiety or depression drop out of treatment early, and/or leave treatment without showing measurably improved symptom levels. To enhance treatment engagement and effectiveness, it is critical to better understand how young people’s perceptions of the symptoms, causes, consequences, treatability, and course of their anxiety and depression influence engagement. Aim: This study aimed to provide a qualitative account of illness perceptions among youth with anxiety and depression by applying the Common Sense Model of Self-Regulation (CSM), which was developed in physical health contexts. Methods: Semi-structured interviews were conducted with 26 young people (aged 16–24, 73% female) with a history of anxiety and/or depression. Interviews were analysed using a combination of theory- and data-driven analysis techniques, consisting primarily of deductive thematic analysis. Results: The five themes broadly mapped onto the dimensions of the CSM, suggesting parallels in how mental and physical health problems are perceived. Anxiety and depression were viewed as non-linear, relapsing and remitting, but lifelong conditions, with a fluctuating and complex path to recovery and coping. Youth described pervasive negative impacts on their lives, but also described some positive aspects. Implications: Better understanding of young people’s illness beliefs has the potential to open a range of intervention possibilities by prioritizing young people’s illness perceptions over the clinician’s understanding and the supposed objective condition severity and trajectory. Although this study supported a common structure of illness beliefs, the content of these beliefs was idiosyncratic and specific to anxiety and depression, suggesting the need to develop a valid tool to measure illness perceptions in this group. Practitioner points: Our findings suggest that illness perceptions are complex, highly idiosyncratic, and specific to youth anxiety and depression. Given the complexity of these beliefs and the known association with important treatment- and health-related outcomes, it is important that clinical formulation incorporates young people’s illness belief models, including their perceptions of symptoms, cause, timeline to recovery, consequences, and personal and treatment control. To increase help-seeking, treatment engagement and adaptive coping strategies, therapy should work to a shared understanding of illness beliefs. Increasing congruence between the belief models of young people, families, and clinicians may serve to improve treatment benefits and address the unmet mental health needs of young people.