In European studies, immigrant-origin adolescents report more mental health symptoms than natives do. The school is an important developmental context for them, and more research is needed about how their school experience is related to their mental health symptoms, and whether these relations vary by group. The aim of this study was to assess the prevalence of depressive symptoms, and their association with the school experience among native and immigrant-origin preadolescents attending the fourth and fifth grades of primary school. Whole-population surveys of three time points (2017, 2019, 2021, N = 259,382, of which N = 14,930 immigrant-origin) were used. Immigrant-origin preadolescents were grouped by their birth country and their parents to first- and second-generation, and to forced and voluntary immigrant groups. Depressive symptoms were most often reported by first-generation immigrant preadolescents followed by their second generation counterparts. Sense of school belonging was the most important protective factor and bullying the most important risk factor in relation to depressive symptoms. Positive school experiences were more beneficial for the mental health of natives than their immigrant-origin counterparts. In turn, negative school experiences were more detrimental for the mental health of immigrant-origin preadolescents.