Even in wealthy countries there are substantial socioeconomic inequalities in adolescent mental health. Socioeconomic status (SES) indicators—parental SES, adolescent subjective SES and adolescent educational level—are negatively associated with adolescent mental health problems, but little is known about the interplay between these SES indicators and whether associations have changed over time. Using data from the Dutch Health Behaviour in School-Aged Children (HBSC) studies ( n = 27,020) between 2001 and 2017, we examined associations between three SES indicators and six indicators of adolescent mental health problems. Linear regressions revealed that adolescent subjective SES and adolescent educational level were independently negatively associated with adolescent mental health problems and positively associated with adolescent life satisfaction, but parental SES had negligible independent associations with adolescent mental health problems and life satisfaction. However, when interactions between SES indicators were considered, high adolescent subjective SES was shown to buffer the negative association between parental SES and adolescent mental health problems and the positive association between parental SES and life satisfaction. Despite societal changes between 2001 and 2017, socioeconomic inequalities in adolescent mental health were stable during this period. Findings suggest that all three SES indicators—parental SES, adolescent subjective SES and adolescent educational level—are important for studying socioeconomic inequalities in adolescent mental health.