Introduction Schools may provide a convenient intervention setting for young people with mental health problems generally, as well as for those who are unwilling or unable to access traditional clinic-based mental health services. However, few studies focus on older adolescents, or those from ethnic minority groups. This study aims to assess the feasibility of a brief school-based psychological intervention for self-referred adolescents aged 16–19 years. Methods A two-arm cluster randomised controlled trial was conducted in 10 inner-city schools with block randomisation of schools. The intervention comprised a one-day CBT Stress management programme with telephone follow-up (DISCOVER) delivered by 3 psychology (2 clinical and 1 assistant) staff. The control was a waitlist condition. Primary outcomes were depression (Mood and Feelings Questionnaire; MFQ) and anxiety (Revised Child Anxiety and Depression Scale; RCADS-anxiety subscale). Data were analysed descriptively and quantitatively to assess feasibility. Results 155 students were enrolled and 142 (91.6%) followed up after 3 months. Participants were predominantly female (81%) and the mean age was 17.3 years, with equal numbers enrolled from Year 12 and Year 13. Over half (55%) of students were from ethnic minority groups. Intraclass correlations were low. Variance estimates were calculated to estimate the sample size for a full RCT. Preliminary outcomes were encouraging, with reductions in depression (d = 0.27 CI-0.49 to −0.04, p = 0.021) and anxiety (d = 0.25, CI-0.46 to −0.04, p = 0.018) at follow-up. Conclusions Results support the feasibility of a school-based, self-referral intervention with older adolescents in a definitive future full-scale trial (Trial no. ISRCTN88636606).