Adolescent mental health is impacted by a myriad of factors, including the developing brain, socioeconomic conditions and changing social relationships. Studies to date have neglected investigating those factors simultaneously, despite evidence of their interacting effects and distinct profiles for males and females. The current study addressed that gap by applying structural equation modelling to IMAGEN data from adolescents aged 14 years (n = 1950). A multi-group model split by sex was tested with the variables of socioeconomic stress, family support, peer problems, and brain structure as predictors, and emotional symptoms as the main outcome. Findings indicated that, for both sexes, peer problems were positively associated with emotional symptoms, and socioeconomic stress was negatively associated with family support. Additionally, there were sex-specific findings within the full models: ventromedial prefrontal cortex grey matter volume was negatively associated with emotional symptoms for males when corrected for whole brain volume, and socioeconomic stress was negatively associated with whole brain volume for females. This study underscores the importance of the peer environment for early adolescent emotional symptoms in both boys and girls, but goes further to suggest distinct gender associations with socioeconomic factors and brain structure which provides a multi-level view of risk and resilience. Future research could exploit existing IMAGEN longitudinal data to strengthen causal claims and to determine the potential longstanding impact of social environment and brain development on adolescent mental health.