Abstract Background Despite evidence on socioeconomic inequalities in psychosocial well-being of adolescents under the COVID-19 pandemic, the explanatory factors and their potential variations across contexts remained understudied. Hence, this cross-regional study compared the extent of inequalities and the mediating pathways across Hong Kong, Mainland China, and the Netherlands. Methods Between July 2021 and January 2022, 25 secondary schools from diverse socioeconomic background were purposively sampled from Hong Kong, Zhejiang (Mainland China), and Limburg (the Netherlands). 3595 junior students completed an online survey during class about their socioeconomic position, psychosocial factors, and well-being. Socioeconomic inequalities were assessed by multiple linear regressions using the Slope Index of Inequality (SII), whereas the mediating pathways through learning difficulty, overall worry about COVID-19, impact on family’ financial status, resilience, trust in government regarding pandemic management, and adaptation to social distancing were examined by mediation analyses moderated by regions. Results The adverse psychosocial impact of COVID-19 was stronger in the Netherlands and Hong Kong compared with Mainland China. The greatest extent of socioeconomic inequalities in the change in psychosocial well-being was observed among students in the Netherlands (SII = 0.59 [95% CI = 0.38–0.80]), followed by Hong Kong (SII = 0.37 [0.21–0.52]) and Mainland China (SII = 0.12 [0.00–0.23]). Learning difficulty and resilience were the major mediators in Mainland China and Hong Kong, but to a lesser extent in the Netherlands. Conclusion Socioeconomic inequalities in psychosocial well-being were evident among adolescents under the pandemic, with learning difficulty and resilience of students as the key mediators. Differences in the social contexts should be considered to better understand the variations in inequalities and mediating pathways across regions.