This study aimed at testing whether there were different types of dysfunctional schemas and cognitive distortions that could help to differentiate three emotional/behavioural problems, i.e., anxiety, depression, and aggression, from each other. Five hundred and eighty-one Chinese adolescents from five mainstream high schools in Hong Kong were recruited and completed several self-report questionnaires. Bivariate correlation showed an indiscriminate pattern of association between dysfunctional schemas, cognitive distortions, and the three emotional/behavioural problems. However, when the effects of the confounding correlated emotional/behavioural problems were controlled in regression analysis, different problems did show some specific association with different types of dysfunctional schemas and/or cognitive distortions. Despite some inconsistency, these findings generally supported a specificity hypothesis. Cognitive variables were thus not only relevant in understanding psychopathology, but their different patterns of association with anxiety, depression, and aggression also supported the separability of these three emotional/behavioural problems, despite their significant correlation.