The present study investigated the impact of social-emotional skills on the mental well-being of Chinese underprivileged-background students (N = 1,811) based on the 2019 Survey on Social and Emotional Skills (SSES 2019) data, separately using the ordinary least squares (OLS) regression and the quantile regression (QR) methods. The OLS regression model indicated that the mental well-being of Chinese underprivileged-background students is significantly and positively affected by self-control, optimism, stress resilience, trust, curiosity, energy, and sociability, but significantly and negatively influenced by tolerance. Whereas, persistence, responsibility, emotional control, cooperation, empathy, creativity, and assertiveness had no significant impact on the students’ mental well-being. Further, the QR model revealed that the impact of social-emotional skills on the mental well-being of Chinese underprivileged-background students can be significant when the mental well-being is at a relatively moderate level, whereas being insignificantly related to the lowest and the highest level of the mental well-being. The results were discussed generally based on the characters of underprivileged-background students in Chinese educational context. Overall, the findings may provide several practical implications for policy application in social-emotional education and the improvement of mental well-being for Chinese underprivileged-background students.