Common mental health problems (particularly depression and anxiety) are common among adolescents during the perinatal period. Previous research has identified the distinctive needs of this group and called for contextually appropriate psychosocial interventions. The current study conducted in Malawi aimed to explore risk and protective factors for common mental health problems, and barriers to accessing mental health care, among perinatal adolescents, to develop a contextually relevant intervention for preventing and treating perinatal depression and anxiety. An exploratory qualitative study was conducted in antenatal and postnatal clinics in Zomba district, Malawi in January–March 2022. In-depth individual interviews were completed with perinatal adolescents aged ≤19 (n = 14); their family members (n = 4); and healthcare workers (n = 8). Interview data were subjected to thematic framework analysis. Data were organised around two themes: “psychosocial risk and protective factors” (potential causes of common mental health problems among adolescents); and “health care services” (maternal and mental health services available, and adolescents’ experiences of using these services). Interventions need to go beyond targeting symptoms of depression and anxiety to addressing the wider contextual risk factors and barriers to care at the different socioecological levels.