This study investigated the effects of sociocultural contexts on health and the psychological well-being of immigrant adolescents, aged 15 to 18 years, originally from Bosnia and Herzegovina and now living as displaced persons either in Bosnia, or immigrants in Croatia and Austria. The study addresses the social determinants of health with a specific focus on five factors in the social environment that might have an influence on health status: gender, socio-economic status (SES), perceived discrimination and exposure to violence, social support and religious commitment. Dependent variables included self-rated health, a count of self-reported objective health problems and a range of indices of psychological well-being (somatic stress, anxiety, depression and self-esteem). The purpose of the study was to examine whether social risk factors have an effect on health, which factors mediate these effects on self-rated health and to assess whether these effects differ by gender. Results indicate that perceived discrimination and violence are related to poor health through psychological stress as a major mechanism with stronger effects for girls in the study. Differences across the three reveal the complexity and specificity of the relationships between analysed factors as the association between discrimination and health was attenuated for some groups due to the protective resources of immigrants.