The current study examined the associations among cumulative risk, psychological capital and adolescents' anxiety/depression and life satisfaction. Chinese adolescents (N = 1473, grades 7 to 12, ages 12 to 18, 52.1% female) completed self-report cumulative risk, psychological capital, anxiety/depressive symptoms and life satisfaction questionnaires. Cumulative risk was associated with anxiety/depression and life satisfaction. Psychological capital demonstrated a compensatory effect on youth adjustment. Furthermore, a cost of resilience was observed in high-school students with high psychological capital, who showed compromised life satisfaction in conjunction with reduced anxiety/depression under circumstances of severe adversity. Psychological capital also buffered the impact of cumulative risk on anxiety/depressive symptoms in middle-school students; however, it did not moderate the relationship between cumulative risk and life satisfaction. Therefore, psychological capital cannot protect adolescents exposed to cumulative risk from the exacerbation of psychopathology and declining life satisfaction simultaneously, and a 'toll' exists as a byproduct of resilience in high-school students. Suggestions for school health practices were provided accordingly.