Fear of crime has been associated with mental health outcomes. Yet, causal relationships have not been established. We examined the relationship between fear and mental health while accounting for potential endogeneity. A sample of 2329 adolescents from the Project on Human Development in Chicago Neighborhoods dataset was analyzed to assess the effect of fear of neighborhood violent crime on anxiety/depression. Instrumental variable (IV) methods were used to address endogeneity. There is evidence that the estimated effect of fear on depressive symptoms does not suffer from endogeneity bias in single-equation models. Adolescents who were more fearful had higher anxiety/depression scores. In adjusted analyses, for each one unit increase in fear (in this case, a move from one level of fear to the next), anxiety/depression scores increased by 1.32 points. There is support for the hypothesis that fear of neighborhood violent crime caused an increase in anxiety/depression scores among adolescents. Many programs address exposure to violence as a potential cause of depression, however few address the fear of violent victimization as a cause. Interventions and services should address fear as a root cause of anxiety/depression among adolescents.