Anxiety and depression occur at alarmingly high rates in children and young people; hence the recent research and policy focus on school-based mental health promotion and prevention interventions. Currently, little is known about the level of risk between socio-economic school communities. While disadvantaged socio-economic status (SES) has long been identified as a particular risk factor for mental health problems, level of risk for anxiety and depression in different SES school communities has not been explored. This study explores the relationship between SES and anxiety and depression, as well as the protective factor self-esteem in children and young people. The results indicated that children in the low SES schools scored significantly higher on depression and lower on self-esteem than children in the high SES schools. Interestingly, and contrary to the hypotheses, children in the high SES school reported significantly higher anxiety than those in lower SES schools. The outcome of this research suggests that children from low SES schools may have a higher level of risk for depression with lower psychological protective factors, such as self-esteem, but this result was not evident for anxiety. Research exploring the risk for mental health disorders, as a function of SES school community, is important in terms of prevention programming.