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Children and adolescents are increasingly susceptible to issues related to anxiety and depression symptoms. The literature does not present a consensus on the composition of indicators that make predictions, prognostic algorithms, or management strategies in mental health promotion and prevention. Most studies primarily focus on the consequences observed in adulthood. This study develops a multidimensional representation of the propensity of children and adolescents to have difficulties in the field of anxiety and depression. The Ordered Weighted Averaging (OWA) operator was used to create a composite indicator, and three quality tests validated the results. For this, it uses information about different dimensions associated with adversity in childhood and adolescence from 54 countries sourced from UNICEF’s Multiple Indicator Cluster Surveys to compare the values of proposed dimensions across continents. The generated composite indicator reveals that, on average, countries in Africa show a higher propensity for children and adolescents to present difficulties in the anxiety and depression fields. In the opposite position, the Americas have the lowest average propensity for these mental health conditions. The validation of the results through quality tests reinforces confidence in the direction indicated by the findings, enhancing the decision-making process when dealing with multidimensional phenomena.