Background Little research in sub‐Saharan Africa has looked at factors that predict mental health problems in adolescents living with HIV (ALHIV). This study examines the psychological impact of HIV in adolescents in Namibia, including risk and protective factors associated with mental health. Methods Ninety‐nine fully disclosed ALHIV between the ages of 12 and 18 were interviewed at a State Hospital in Windhoek. A structured questionnaire assessed mental health, using the SDQ (Goodman, 1997), sociodemographic factors, poverty, social support, adherence and stigma. Results Mean age was 14.3 years, 52.5% were female and most were healthy. Twelve percent scored in the clinical range for total mental health difficulties and 22% for emotional symptoms. Poverty was associated with more total mental health difficulties, t(96) = −2.63, p = .010, and more emotional symptoms, t(96) = −3.45, p = .001, whereas better social support was a protective factor, particularly caregiver support (r = −.337, p = .001). Adherence problems, HIV‐related stigma and disclosing one's own HIV status to others were also associated with more total mental health difficulties. Poverty (β = −.231, p = .023) and stigma (β = .268, p = .009) were the best predictors for total mental health difficulties, whereas stigma (β = .314, p = .002) predicted emotional symptoms. Social support had a protective effect on peer problems (p = .001, β = −.349). Conclusions Several contextual factors associated with poorer mental health in ALHIV are identified.