Muslims comprise a small, yet important and growing percentage of the population in the United Kingdom. In addition to economic and social hardship, British Muslims are disadvantaged by hostile, Islamophobic attitudes and pervasive discriminatory practices. Previous research testing the Rejection-Identification (RIM) and Rejection-Disidentification (RDM) Models has suggested that the impacts of discrimination on the well-being of minorities may be mediated by processes of increased minority identification and decreased majority identification. The current research utilised these explanatory frameworks to investigate the relationships between personal discrimination and perceived Islamophobia, religious and national identities, and depressive symptoms in young British Muslims aged 16–27 years (N = 142). The results provide support for some, but not all, elements of the theoretical models tested. Specifically, perceived Islamophobia was directly associated with stronger Muslim identity, and personal discrimination was associated with weaker British identity. Furthermore, personal discrimination was associated with greater depressive symptoms; neither social identity was associated with more favourable mental health outcomes; and Muslim identity was weakly, but significantly, associated with higher levels of depressive symptoms. This research points to the need to assess personal discrimination alongside indicators of group level discrimination, to include multiple social identities, and to be mindful of broader social and contextual factors when investigating RIM and RDM.