The existing literature suggests an association between the physical environment and mental health but also complex relationships between the social and the physical environment as well as between objective and subjective measures of the environment. In this study, we attempted to explore the role of the residential neighbourhood's physical environment in adolescent mental health, taking this complexity into account. Using data on 3683 ten- to 15-year-olds from England and Wales who participated in Understanding Society, we investigated the role of neighbourhood greenspace and air pollution in adolescent mental health (measured with the Strengths and Difficulties Questionnaire) while controlling for measures of neighbourhood and family socio-economic disadvantage as well as subjective perceptions of social cohesion, crime, safety, and noise in the neighbourhood. In linear regression models, greenspace and air pollution could not predict mental health. However, fear of being a victim of crime was a consistent predictor of mental health and behaviour, indicating the essential role of young people's subjective experience of their neighbourhoods for their mental health and well-being.