Taking higher education as a specific social context in which to explore structural and social determinants of inequalities in young people’s mental health, this study used the new gold standard for quantitative intersectionality research (Multilevel Analysis of Individual Heterogeneity and Discriminatory Accuracy [MAIHDA]) as an analytical approach. Drawing on data from the Longitudinal Study of Young People in England, we used MAIHDA to predict the odds that mental distress during adolescence, sex, socioeconomic status, sexual identity, ethnicity, and their intersections, were associated with young people’s mental health outcomes at age 25. Analyses were performed both within and outside of the higher education context to determine whether university attendance shaped any intersectional effects. The results did not reveal any evidence of intersectional effects (i.e. a multiplicative model) on young people’s mental health outcomes. Significant main effects of social identities (i.e. an additive model) were, however, found: Being female or identifying as a sexual minority increased the odds of young people experiencing mental health problems at age 25, although the odds of self-harming were half the size for sexual minorities who attended university; Black and Asian individuals were less likely to declare a mental illness than White individuals; and young people who grew up in a more deprived area and did not attend university were more likely to experience mental health problems. Implications of the findings are that mental health interventions for young people do not necessarily have to be designed exclusively for specific intersectional groups, but could instead be targeted at broad social group memberships. Since, the university environment appears to produce better mental health outcomes for some young people, further investigation is needed to understand potential benefits afforded by attending university, and to determine whether this should and could be replicated in the wider general population.