Mental health problems among adolescents are prevalent and are associated with important difficulties for a normal development during this period and later in life. Understanding better the risk factors associated with mental health problems may help to design and implement more effective preventive interventions. Several personal and family risk factors have been identified in their relationship to mental health; however, much less is known about the influence of school-related factors. One of these school factors is school belonging or the psychological sense of school membership. This is a well-known protective factor to develop good academic commitment, but it has been scarcely studied in its relationship to mental health. We explored this association in a sample of early adolescents and found that students who reported having a high level of school membership had lower mental health problems, even after controlling for several personal and family factors.