One in 10 young people feel they cannot cope with day-to-day life, according to a report from The Prince's Trust.
The charity's Youth Index also reveals that young people not in employment, education or training - NEETs - are more than twice as likely to feel unable to cope as their peers.
The report, which was based on interviews with 2,136 people aged 16 to 25, gauges young people's wellbeing across a range of areas from family life to physical health.
But what has concerned the report's authors is how those out of work are less happy across all areas of their lives.
Martina Milburn, the chief executive of The Prince's Trust, said: "A frightening number of unemployed young people feel unable to cope - and it is particularly tough for those who don't have a support network in place.
"We know at The Prince's Trust that it is often those from the most vulnerable backgrounds who end up furthest from the job market.
"Life can become a demoralising downward spiral from a challenging childhood into life as a jobless adult. But, with the right support, we can help get these lives on track."
The report reveals that 27% of young people in work feel down or depressed "always" or "often", but that increases to almost half (48%) among NEETs.
Richard Parish, the chief executive of the Royal Society of Public Health, said: "The Youth Index clearly shows a worrying discrepancy between young people who are in work and those who are not.
"These unemployed young people need support to regain their self-worth and, ultimately, get them back in the workplace.
"With recent record-breaking youth unemployment, the work of charities like The Prince's Trust with vulnerable young people is more critical than ever."