Reducing substance use and negative mental health outcomes of interpersonal victimization among sexual and gender minority youth (SGMY) represents a critical public health priority. Victimized individuals often develop cognitive schemas, or organized knowledge structures consisting of traits, values, and memories about the self, such as self-concept factors, in response to interpersonal victimization. Prior studies demonstrate the role of self-concept factors (e.g., mastery, control, and self-esteem) in explaining the relationship between victimization and substance use and mental health. However, mastery, control, and self-esteem have not been explored as mediators of interpersonal victimization and health among SGMY. This study is among the first to apply cognitive schema models of trauma-related health symptoms using a large sample of SGMY to examine (a) whether interpersonal victimization is associated with substance use (i.e., alcohol use, cannabis use, and cigarette use) and mental health problems (i.e., depressive symptoms, self-perceived stress, self-rated health issues) and (b) whether diminished sense of mastery and control and lower self-esteem can partially explain elevated rates of substance use and mental health problems in this population. We used the U.S.-based 2017 LGBTQ National Teen Survey (n = 17,112; Mage = 15.57, SD = 1.27); 6,401 (37.4%) identified as gay or lesbian, 7,396 (43.2%) as cisgender women, and 10,245 (59.9%) as White. Substance use and mental health variables were positively associated with interpersonal victimization variables and negatively associated with self-concept factors. Self-concept factors partially mediated the relationship between interpersonal victimization and mental health. This model explained 74.2% of the variance in mental health and 28.4% of the variance in substance use. Cognitive coping may represent an important modifiable factor that can be targeted by trauma-focused interventions in efforts to improve victimized SGMY's mental health. Findings call for the development of identity-affirmative, evidence-based, and trauma-focused interventions for SGMY to improve this populations' overall health.