This study examined the relationship between school belonging and mental health among adolescents with different migration backgrounds in Finland. The article is important, as the first aim was to investigate whether there are differences in perceived school belonging between Finnish-born youth, labor migrants, and refugee-background youth. The second aim was to explore how school belonging is associated with internalizing symptoms, externalizing symptoms, prosocial behavior, and resilience. The third aim was to determine whether these associations differ depending on migration background. The study utilized cross-sectional survey data collected in autumn 2019 as part of the Psychosocial Support for Immigrant Youth in School Intervention Research Project (n = 1,981). Results indicated no significant differences in perceived school belonging between Finnish-born adolescents, labor migrant youth, and refugee-background youth. Stronger school belonging was significantly associated with lower levels of internalizing and externalizing symptoms, and higher levels of prosocial behavior and resilience. These associations remained significant after controlling gender, age, and time of response. Migration background did not significantly moderate the associations between school belonging and mental health outcomes. However, the interaction between refugee background and school belonging was close to statistical significance for resilience, suggesting that belonging may be particularly important for resilience among refugee youth. This pattern underscores how school environments can play a stabilizing role for young people navigating different cultural or migratory experiences. Overall, the findings highlight the central role of school belonging in supporting adolescent mental health, regardless of migration background. Strengthening students’ sense of belonging at school may serve as a key target for universal and preventive mental health interventions.