Previous research is inconclusive as to whether having an immigration background acts as a risk factor for poor mental health in adolescents, and furthermore, what contribution the social context in which adolescents grow up may make. To address these questions, the current study uses an integrative resilience framework to investigate the association between immigration background and adolescent mental health, and the moderating role of social capital at the individual, the school, and the national level. The study uses data gathered from nationally representative samples of adolescents aged 11, 13, and 15 years (Ngirls = 63,425 (52.1%); Mage = 13.57, SD = 1.64) from 29 countries participating in the 2017/18 Health Behaviour in School-aged Children (HBSC) study. Data analysis reveals that first- and second-generation immigrants reported higher levels of life dissatisfaction and psychosomatic symptoms than their native peers, and that this association varied across schools and countries. In addition, social capital was found to moderate the association between immigration background and adolescent mental health. Individual-level social support from peers and family and national-level trust protected against poor mental health in adolescents with an immigration background, while the opposite was true for individual-level teacher support. Supportive teacher-student relationships were found to provide more protection against poor mental health for native adolescents than for immigrant adolescents. Our findings indicate the importance of taking an ecological approach to design interventions to reduce the negative effects of having an immigration background on adolescent mental health.