Understanding how structural racism is associated with adolescent mental health is critical to advance health equity. To assess associations between neighborhood privilege, measured by the Index of Concentration at the Extremes (ICE) and adolescent depressive symptoms, suicidality, and related racial and ethnic disparities. This was a retrospective cohort study using electronic health records of adolescents aged 12 to 16 years who attended well-teen visits between 2017 and 2021. Kaiser Permanente Northern California is an integrated health care delivery system serving 4.6 million members. The cohort included 34 252 individuals born singleton at an affiliated facility from January 1, 2005, to December 31, 2009, and who had completed at least 1 mental health screener during a well-teen visit by November 23, 2021. American Community Survey 2016 to 2021 5-year estimates were used to calculate ICE scores for adolescents’ residential census tract at ages 10 to 11. Three ICE measures were used as proxies of structural racism: racial privilege (ICE-race and ethnicity; hereinafter ICE-race), economic privilege (ICE-income), and combined economic and racial privilege (ICE-income plus race and ethnicity; herinafter ICE-income plus race). ICE scores were categorized into quintiles based on California statewide distributions. Depressive symptoms and suicidality were assessed through self-report screeners during well-teen visits. Depressive symptoms were considered to be present if patients had a score on the Patient Health Questionnaire-2 of 3 or higher (the tool uses a Likert scale to determine the frequency [0 = not at all; 3 = nearly every day] that they had depressed mood and lack of pleasure in usual activities in the past 2 weeks; responses were summed and dichotomized). Analyses included 34 252 adolescents (12-16 years of age; mean [SD] age, 13.7 [0.8] years; 17 557 [51.3%] male, 7284 [21.3%] Asian or Pacific Islander, 2587 [7.6%] Black], 9061 [26.5%] Hispanic, 75 [0.2%] American Indian or Indigenous, 12 176 [35.5%] White, and 3069 [9%] other or unknown). Risks of depressive symptoms and suicidality generally increased with each level of declining neighborhood privilege. Adjusted risk ratios comparing adolescents from neighborhoods with the least to most racial and economic privilege were 1.37 (95% CI, 1.20-1.55) for depressive symptoms and 1.59 (95% CI, 1.23-2.05) for suicidality. Racial disparities between Black and White youth and Hispanic and White youth decreased after adjusting for each ICE measure, and became nonsignificant in models adjusting for ICE-race and ICE-income plus race. In this cohort study, lower neighborhood privilege was associated with greater risks of adolescent depressive symptoms and suicidality. Furthermore, adjusting for neighborhood privilege reduced mental health disparities affecting Black and Hispanic adolescents. These findings suggest that efforts to promote equity in adolescent mental health should extend beyond the clinical setting and consider the inequitable neighborhood contexts that are shaped by structural racism.