This study aimed to explore the relationship between Early Leaving Education and Training and mental health perceived by young Spanish school leavers, as well as develop mid-range theories to better understand this relationship. The study uses a grounded theory approach; specifically, Charmaz’s constructivist approach and its informed version have guided the study. Through qualitative interviews with individuals who had left school prematurely, the results of this study showed a bidirectional relationship between ELET and mental health, where the detriment in the mental health of young people who leave school early should be understood as both a cause and an effect of the process of ELET. In addition, the findings suggest that certain socio-economic and educational factors, such as bullying, academic stress, self-responsibilization of failure, and labels such as “NEET” can contribute to a decrease in mental health. Overall, this study has provided new insights into the ELET-mental health relationship, contributing to the development of mid-range theories that can inform future research and interventions to minimize these problems.