While ethnic diversity is increasing in many countries, ethnic minority youth is less likely to be reached, effectively treated and retained by youth mental health care compared to majority youth. Improving understanding of factors associated with mental health problems within socially disadvantaged ethnic minority youth is important to tailor current preventive and treatment interventions to the needs of these youth. The aim of this study was to explore factors at child, family, school, peer, neighbourhood and ethnic minority group level associated with mental health problems in Moroccan-Dutch youth (n = 152, mean age 13.6 ± 1.9 years). Self-reported and teacher-reported questionnaire data on psychiatric symptoms and self-report interview data on psychiatric disorders were used to divide children into three levels of mental health problems: no symptoms, only psychiatric symptoms and psychiatric disorders. Psychiatric symptoms and/or disorders were associated with more psychopathic traits, a higher number of experienced trauma and children in the family, and more conflicts with parents, affiliation with delinquent peers, perceived discrimination and cultural mistrust. Psychiatric symptoms and/or disorders were also associated with less self-esteem, parental monitoring, affiliation with religion and orientation to Dutch or Moroccan culture, and a weaker ethnic identity. For youth growing up in a disadvantaged ethnic minority position, the most important factors were found at family (parent–child relationship and parenting practices) and ethnic minority group level (marginalization, discrimination and cultural mistrust). Preventive and treatment interventions for socially disadvantaged ethnic minority youth should be aimed at dealing with social disadvantage and discrimination, improving the parent–child relationship and parenting practices, and developing a positive (cultural) identity.