Feeling belongingness with small social groups such as the family or a group of friends predicts psychological well-being. Acculturation research has argued for similar effects of belongingness with large social groups. In particular, a strong ethnic identity is assumed to improve psychological well-being among members of minority groups, but this conclusion has been drawn based on cross-sectional data. This study uses three-wave longitudinal data collected among adolescents from ethnic minority groups (N = 705), comparing identification with small groups (the family and the school class) with identification with large groups (the ethnic in-group and the nation) as predictors of psychological well-being (self-esteem, mental health problems, and life satisfaction). Analyses suggest that identification with small groups, in particular with the family, can predict developments in psychological well-being (self-esteem and mental health). In contrast, the data gave no support for causal effects from ethnic identity or national identity, in spite of substantial bivariate correlations with all three dimensions in psychological well-being. The findings have implications for acculturation research. In particular, research on ethnic or national identity as predictors of psychological well-being will benefit from adding small-group identities as covariates and using longitudinal data.