Lesbian, gay male, bisexual, queer, and other sexual minority (LGBQ+) individuals as well as ethnic minority individuals experience minority stress and demonstrate higher prevalence rates of mental disorders than heterosexual and ethnically privileged individuals. According to the intersectional invisibility theory, individuals with two minority identities experience less discrimination than expected from both minority identities alone, but also less representation and recognition in their communities. We compared minority stress and mental health problems in a sexually and ethnically diverse sample. The participants included n = 137 ethnic minority LGBQ+, n = 686 ethnically privileged LGBQ+, n = 87 ethnic minority heterosexual, and n = 405 ethnically privileged heterosexual individuals. They reported everyday discrimination, victimization based on their sexual and ethnic identities, internalized negativity based on the same, as well as mental health problems. In a moderated mediation analysis, we found that both minority identities predicted minority stress and that minority stress in turn predicted mental health problems. In addition, intersecting minority identities interacted with the predictions, predicting lower everyday discrimination and higher internalized negativity. Everyday discrimination was only slightly lessened by intersectionality, leaving the experiences of everyday discrimination in sexual and ethnic minority individuals higher than those of single minority individuals. Our findings suggest that ethnic minority LGBQ+ individuals should be considered a high risk group for minority stress and mental health problems. Strategies should be developed to reduce minority stress in this group, such as introducing intersectional anti-discrimination laws and educating therapists about intersectionality and its consequences.