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This study provides causal evidence on the impact of life skills programming on the mental health of adolescent girls aged 10–19 in three distinct low- and middle-income countries: Tanzania, Bangladesh, and Ethiopia. Life skills interventions significantly improved a component of mental health in all three contexts, with reductions in depression in Tanzania and improvements in socio-emotional development in Bangladesh and Ethiopia. However, findings suggest substantial heterogeneity in impact. Programs that target both adolescent boys and girls appear more effective than those that target girls alone, and existing supportive environments are a necessary condition for programs to improve mental health.