Understanding how variations in dimensions of psychometrics, IQ and demographics relate to changes in brain connectivity during the critical developmental period of adolescence and early adulthood is a major challenge. This has particular relevance for mental health disorders where a failure to understand these links might hinder the development of better diagnostic approaches and therapeutics. Here, we investigated this question in 306 adolescents and young adults (14–24 y, 25 clinically depressed) using a multivariate statistical framework, based on canonical correlation analysis (CCA). By linking individual functional brain connectivity profiles to self-report questionnaires, IQ and demographic data we identified two distinct modes of covariation. The first mode mapped onto an externalization/internalization axis and showed a strong association with sex. The second mode mapped onto a well-being/distress axis independent of sex. Interestingly, both modes showed an association with age. Crucially, the changes in functional brain connectivity associated with changes in these phenotypes showed marked developmental effects. The findings point to a role for the default mode, frontoparietal and limbic networks in psychopathology and depression.