Purpose: Research shows that the prevalence of psychiatric problems is higher in ethnic minority youth compared to native youth. This school-based screening study of early adolescents’ mental health in the Netherlands examined differences in prevalence of psychotic experiences in ethnic minority youth compared to their Dutch peers. Moreover, we investigated the association between psychotic experiences, ethnic identity, and perceived discrimination. Methods: A cohort of 1194 ethnic majority and minority adolescents (mean age 13.72, SD 0.63) filled-out questionnaires on psychotic experiences (including delusional and hallucinatory experiences), perceived group and personal discrimination, and ethnic identity. Results: Apart from lower levels of hallucinatory experiences in Turkish–Dutch adolescents, prevalence of psychotic experiences did not differ between ethnic minority and majority adolescents. Perceived personal discrimination was associated with the presence of psychotic experiences (including delusional and hallucinatory experiences) (OR 2.30, 95% CI 1.22–4.34). This association was stronger for delusional experiences (OR 2.94, 95% CI 1.43–6.06) than for hallucinatory experiences (OR 1.65, 95% CI 0.73–3.72). No significant associations were found between perceived group discrimination and psychotic experiences. A weak ethnic identity was associated with higher risk for reporting psychotic experiences (OR 2.04, 95% CI 1.14–3.66), particularly hallucinatory experiences (OR 3.15, 95% CI 1.54–6.44). When looking at specific ethnic identity categories, marginalization, compared to separation, was associated with a threefold risk for reporting psychotic experiences (OR 3.26, 95% CI 1.33–8.03). Both marginalisation (OR 3.17, 95% CI 1.04–9.63) and assimilation (OR 3.25, 95% CI 1.30–8.13) were associated with a higher risk for hallucinatory experiences. Conclusions: These results underline the protective effect of ethnic identity against mental health problems. Future research should focus on interventions that focus on strengthen social identity.