Residential care (RC) in Portugal accounts for almost 90% of out-of-home placements of children. Since the Youth Self-Report (YSR) and the Strengths and Difficulties Questionnaire (SDQ) are the most commonly used psychological (mal)adjustment screening instruments, it is important to analyze their comparative validity specifically in the context of RC. This study aims to analyze the comparative effectiveness of YSR/SDQ as screening tools of psychological (mal)adjustment, looking for differences in the way psychological problems and difficulties are identified by these two measures in adolescents in RC. Sixty-one adolescents, aged 12–20, living in five RC settings participated in this study. Participants’ characteristics at the time of admission were collected using the previous request for infomation (PIP) from the Portuguese Comprehensive Assessment System for Residential Care Quality (ARQUA-P). Participants filled out both the YSR and the self-report form of SDQ. Significant correlations between the two self-report measures of adolescents’ psychological adjustment were observed. Additionally, the utility of each measure differed based on youngsters’ characteristics, potentially supporting the simultaneous use of both instruments. Implications for further research and professional practice in RC are discussed, namely the differential utility of using YSR and/or SDQ as a screening tool with this population.