Sexual and gender minority (SGM) youth face elevated mental health risks. However, insights from minority stress theory and prevention science suggest that this disparity may result from increased exposure to minority stressors rather than their minoritized identities and that there are protective factors that can mitigate these higher risks. At the same time, research seldomly differentiates between gender minority (GM) and sexual minority (SM) experiences. The current study examines identity-based discrimination and the protective roles of parent support and school belonging on the mental health (i.e., anxiety, depression, and suicide ideation and attempt) of 1,348 SM youth (79.5% female as assigned sex at birth 76.4% self-identified as White) and 322 GM youth aged 14-18 (82.0% female as assigned sex at birth, 79.7% self-identified as White). Using structural equation modeling with SM and GM youth in two separate models, results indicate that experiences of discrimination based on sexual orientation, gender, and disability were related to higher mental health risks. Such associations were not observed for discrimination based on race/ethnicity. School belonging was associated with lower mental health risks for both SM and GM youth, while the protective role of parental support was only observed for SM youth. Additionally, depression emerged as significant mediator of the indirect effect between risk and protective factors and suicide outcomes. Our findings point to varied experiences among SGM youth with diverse identities, as well as distinct experiences for SM and GM youth, suggesting tailored intervention and prevention approaches for each group.