This study examined associations between characteristics of the residential neighbourhood and the school and adolescent mental health, including the moderating role of family socioeconomic status (SES) and family support. Nationally representative Dutch data from adolescents aged 12–16 (N = 6422) were analysed through cross-classified multilevel models. Findings showed that school characteristics are more strongly linked to adolescent mental health than residential neighbourhood characteristics. More specifically, higher levels of school SES were associated with more hyperactivity-inattention problems, while higher levels of school social disorder were related to more conduct problems and more peer relationship problems. Further, higher levels of school SES were associated with more emotional symptoms only for adolescents with a relatively low family SES. Higher levels of neighbourhood SES were associated with fewer peer relationship problems. Overall, there was little evidence for the moderating role of family SES or family support.