Purpose: This study employed an intersectional framework to examine impact of inequalities related to sexual minority (SM) and ethnic minority (EM) identities in risk for health, well-being, and health-related behaviors in a nationally representative sample. Methods: Participants included 9789 (51% female) adolescents aged 17 years from the U.K.-wide Millennium Cohort Study, with data on self-identified sexual and ethnic identities. Adolescents were grouped into White heterosexual, White-SM, EM-heterosexual, and EM-SM categories. Questionnaires assessed mental health (e.g., self-reported psychological distress, doctor-diagnosed depression, attempted suicide), general health (self-rated health, chronic illness, body mass index), and health-related behaviors (e.g., smoking, substance use). Associations were analyzed using multivariable logistic regression. Results: SM individuals (White: 18% and EM: 3%) had increased odds for mental health difficulties and attempted suicide, with higher odds for White-SM individuals than for EM-SM individuals. Compared with White heterosexual individuals, White-SM and EM-SM individuals had higher risk for psychological distress (adjusted odds ratios [OR] 3.47/2.24 for White-SM/EM-SM, respectively) and emotional symptoms (OR 3.17/1.65). They had higher odds for attempted suicide (OR 2.78/2.02), self-harm (OR 3.06/1.52), and poor sleep quality (OR 1.88/1.67). In contrast, the White heterosexual and White-SM groups had similarly high proportions reporting risky behaviors except for drug use (OR 1.45) and risky sex (OR 1.40), which were more common in White-SM individuals. EM-heterosexual and EM-SM individuals had decreased odds for health-related behaviors. Conclusion: SM (White and EM) individuals had substantially worse mental health compared with heterosexual peers. Adverse health-related behaviors were more common in White-SM individuals. Investigation into the mechanisms leading to these differences is needed.