Although neighborhood contexts serve as upstream determinants of health, it remains unclear how these contexts “get under the skin” of Mexican‐origin youth, who are disproportionately concentrated in highly disadvantaged yet co‐ethnic neighborhoods. The current study examines the associations between household and neighborhood socioeconomic status (SES), neighborhood racial–ethnic and immigrant composition, and hair cortisol concentration (HCC)—a physiological index of chronic stress response—among Mexican‐origin adolescents from low‐income immigrant families in the United States. A total of 297 (54.20% female; mage = 17.61, SD = 0.93) Mexican‐origin adolescents had their hair cortisol collected, and their residential addresses were geocoded and merged with the American Community Survey. Neighborhoods with higher Hispanic‐origin and foreign‐born residents were associated with higher neighborhood disadvantage, whereas neighborhoods with higher non‐Hispanic White and domestic‐born residents were associated with higher neighborhood affluence. Mexican‐origin adolescents living in neighborhoods with a higher proportion of Hispanic‐origin residents showed lower levels of HCC, consistent with the role of the ethnic enclave. In contrast, adolescents living in more affluent neighborhoods showed higher levels of HCC, possibly reflecting a physiological toll. No association was found between household SES and HCC. Our findings underscore the importance of taking sociocultural contexts and person–environment fit into consideration when understanding how neighborhoods influence adolescents’ stress physiology.