A growing number of young people now perceive climate change as an existential threat rather than a distant environmental issue. This study investigates the relationship between environmental awareness and symptoms of climate anxiety among two generational groups – Generation Z (aged 28–29) and Generation Alpha (aged 14–15) – residing in Budapest, and fills an empirical gap in the Hungarian context regarding how urban youth segments process ecological distress. Data were collected via an anonymous online questionnaire, distributed between January 12 and March 31, 2025, through targeted social media groups. Screening questions limited participation to the target age groups. The survey covered environmental awareness, sustainable behaviors, and psychological and physical symptoms, resulting in 701 valid responses. Four hypotheses were tested using non-parametric statistical analyses, primarily Spearman’s rank correlation and Mann–Whitney U tests. All statistical analyses were conducted with SPSS software version 27, and selected calculations were cross-validated using the WolframAlpha analytics tool. The findings indicate that climate-related distress is a multidimensional phenomenon shaped by environmental attitudes, sex, and generational context. Among young adult males in Generation Z, higher levels of environmental engagement and knowledge were associated with a reduced sense of helplessness, suggesting that taking action can serve as a psychological protective factor. Sex-based comparisons revealed that female participants reported significantly higher levels of clinical symptoms, particularly anxiety, irritability, and nervousness. In contrast, male participants were more likely to report physical manifestations such as muscle pain. Generation Z females exhibited higher levels of apathy, whereas Generation Alpha females reported more acute nervousness. The study also highlights the critical link between mental health and environmental action, contributing to the broader framework of the United Nations Sustainable Development Goals (SDGs). These results underscore the importance of age- and sex-sensitive approaches when addressing the psychological impact of the climate crisis. The research emphasizes that promoting mental health (SDG 3) is viewed as an essential catalyst for effective climate action (SDG 13).