Adolescent mental health is an important public health issue that cannot be ignored, and mental health issues are a major cause of physical illness in adolescents and children worldwide. In order to supplement relevant research and provide insightful policy suggestions to government, schools and families, this study investigated the nexus between family socioeconomic status and mental health for adolescents in China. Based on 7234 observations from the China Education Panel Survey, the paper estimated the effects of family socioeconomic status on adolescents’ mental health using ordinary least squares. The effects of family income, parental education level, and parental occupation on adolescent mental health were estimated separately by the same method. Our findings suggest that family socioeconomic status has a significant positive effect on mental health of adolescents in China. This effect is heterogeneous depending on individuals’ registered residence types and their participation in health courses. Finally, frequency of parent-child interaction and classmate interaction are shown to be potential mechanisms for the effect of family socioeconomic status on the mental health of Chinese adolescents.