This paper determines the association of neighbourhood ethnic density on adolescent mental health and its interplay with ethnic minority status and neighbourhood deprivation. 4145 cross-sectional responses to the 2009–2011 UK Household Longitudinal Study (UKHLS) youth self-completion questionnaire for youths aged 10–15 living in England were combined with household responses to the household UKHLS interview and 2011 Census data. Regression models were used to predict a Strengths and Difficulties Questionnaire (SDQ) score (range 0–40) with higher values indicating worse mental health. Ethnic density was operationalised using two distinct measures: co-ethnic density and diversity index. There was no difference in the mental health of ethnic minority youths by whether they lived in neighbourhoods of differing levels of ethnic density or neighbourhood deprivation. White British youths had poorer mental health when living in deprived neighbourhoods where their ethnic group was the vast majority. The difference compared to all other neighbourhoods was two points on the SDQ score. Interventions should seek to encourage adolescents living in white-working class neighbourhoods to explore ethnic diversity to determine whether it improves their mental health.