Objectives: The Child Health Utility 9D (CHU9D) currently represents the only preference-based health-related quality-of-life instrument designed exclusively from its inception for application with children. The objective of this study was to examine the construct validity and responsiveness of the proxy-reported (parent) CHU9D in a mental health setting using utility weights derived from an adult and adolescent population, respectively. Methods: The discriminant validity and convergent validity were examined using the mental health-specific ‘The Strengths and Difficulties Questionnaire’ (SDQ) and the generic KIDSCREEN-27. Responsiveness was assessed by examining the floor-ceiling effects, the magnitude of change over time, and the ability to differentiate between improvement and no improvement. Results: The study included 396 children with mental health problems. CHU9D showed good construct validity, with correlation coefficients ranging between 0.329 and 0.571 for SDQ Impact score and KIDSCREEN-27 Psychological Well-being. CHU9D was able to distinguish between groups of children with different levels of mental health problems (p < 0.001). The absolute magnitudes of the group mean differences were larger using adolescent weights. No evidence of a floor/ceiling effect was found at the baseline. A standardized response mean of 0.634–0.654 was found for the children who experienced clinically significant improvements. CHU9D was able to discriminate between children who experienced positive and no health improvements (p < 0.001). Conclusion: This study provides the first evidence on responsiveness for CHU9D in a mental health context. The findings demonstrate that CHU9D is an appropriate HRQOL measure for use in mental health trials. Furthermore, the results show that the preference weights generated from an adolescent population resulted in the larger mean differences between groups.