The present study aims to examine the extent to which adolescents of immigrant background experience acculturative stress (i.e., cultural clashes with parents and ethnic victimization in school) in multiple contexts, and the reasons why such stress takes a toll on their psychological functioning and views of themselves. The analytic sample includes adolescents of immigrant background residing in Sweden (N = 423, Mage = 13.19, SD = 0.51). Cluster analysis revealed five distinct groups of adolescents, based on their reports of cultural clashes with parents and ethnic victimization in school: (1) low on both acculturative stressors, (2) average on both acculturative stressors, (3) high on cultural clashes only, (4) high on ethnic victimization only, and (5) high on both acculturative stressors. Mediation analysis showed that adolescents who experienced cultural clashes at home and who were also victimized by their peers in school reported higher levels of feeling in between cultures than adolescents in all the other clusters (except those high on cultural clashes only), and in turn reported higher levels of depressive symptoms and lower levels of self‐esteem. The present study highlights the importance of understanding immigrant youth's experiences across multiple contexts simultaneously in order to develop a holistic perspective on their adjustment and integration processes.