The aim of this study was to examine various psychosocial, behavioral, and socio-environmental factors in a multiethnic sample of healthy-weight, overweight, and obese youths in the United States (US) and Mexico and determine differences by sex. We conducted a cross-sectional analysis of 633 youths aged 11–18 years who completed a self-reported questionnaire. Height and weight were measured to determine body mass index (BMI). Overweight and obese youth in both countries were significantly more likely to report a higher body image dissatisfaction (Odds Ratio (OR) = 1.67 and OR= 2.95, respectively), depressive symptoms (OR = 1.08 and OR = 1.12, respectively), perceive themselves as overweight (OR = 2.57) or obese (OR = 5.30), and a lower weight-specific quality of life (OR = 0.97 and OR = 0.95, respectively) than healthy-weight youth. Obese youth have lower healthy lifestyle priorities (OR = 0.75) and are less likely to be physically active (OR = 0.79) and eat breakfast (OR = 0.47) than healthy-weight youth. Additionally, overweight and obese youth are more likely to engage in weight control behaviors (OR = 5.19 and OR = 8.88, respectively) and restrained eating than healthy-weight youth. All the aforementioned results had a p-value of <0.05, which was considered statistically significant. The association between these factors and overweight or obesity remained significant after controlling for age, sex, race/ethnicity, and country. In conclusion, obesity was associated with a range of psychosocial, behavioral, and socio-environmental risk factors in both countries. Our findings support the need for multifactorial approaches when developing interventions to address the growing problem of obesity among youth in the US and Mexico.