The COVID-19 pandemic highlighted the existing inequalities in education and mental health. The aim of this study was to examine socioeconomic disadvantages and mental well-being inequalities among Slovenian adolescents in October 2020. The study used nationally representative data from 3052 adolescents aged 14 and 18 (Mage= 14.4 and 18.4). The WHO-5 Well-Being Index (WHO-5) was used to measure mental well-being and risk for depression. Multinomial logistic regression was used to identify differences in the pattern of associations regarding sociodemographic characteristics and experiences during the pandemic with poor well-being and risk for depression. Our study found that adolescents from socially disadvantaged families faced poorer conditions as regards academic performance, had fewer opportunities to socialise with friends online, and were more likely to feel lonely; they reported lower levels of mental well-being and were at a higher risk for depression. The unemployment of both parents and adolescents’ perceptions of family wealth were found to be the most important predictors of depression risk. In addition, experiencing deprivation and economic hardship during the pandemic was also identified as a significant predictor. The study concludes that social and economic conditions were critical determinants of adolescents’ mental health during the pandemic and that effective intervention is needed to promote their well-being and reduce inequalities.