Internalizing problems are common in adolescence and increased substantially during the COVID-19 pandemic. Leveraging data from a U.S. nationally diverse sample of 2,954 adolescents (ages 13-16), we examined the associations between factors at multiple levels of youths’ ecologies – spanning indicators of threat and deprivation – and their depression and anxiety symptoms during the COVID-19 pandemic. Furthermore, we examined how these associations differed by adolescents’ racial/ethnic groups. Consistent with socio-ecological models, we found that indicators of threat and deprivation at the adolescents’ immediate home, and more distal neighborhood environments were associated with their depression and anxiety symptoms. The patterns of associations were similar across racial/ethnic groups in multigroup structural equation models. Additionally, we found that mean levels of internalizing symptoms and socio-ecological predictors significantly differed across racial/ethnic groups. These findings have important implications for understanding multi-level contributors to mental health among adolescents which may inform research, practice, and policy.