Adolescence is a period of significant brain development and decreased sleep quality, making it an ideal period to investigate early indicators of anxiety disorders such as psychological distress. The amygdala and hippocampus have been implicated in the neurobiology of anxiety symptoms. Sex-based differences in anxiety symptoms and sleep quality suggest sex-specific indicators may be preferable to a "one size fits all" approach. N = 70 early adolescents (12 years) completed the Pittsburgh Sleep Quality Index (PSQI), Kessler psychological distress scale (K10) and MRI scanning. Female participants were found to be poorer sleepers and to have higher psychological distress levels. Females also had larger right amygdala and hippocampal volumes than males controlling for total brain volume. Findings of sex-based differences in amygdala and hippocampal volumes as well as sleep and psychological distress at age 12 may represent an important step in elucidating sex specific early indicators of future mental health disorders.