This study examined differences by sexual and gender minority (SGM) and incarceration statuses in mental health indicators among youth. Population-based, cross-sectional data are from the 2019 Minnesota Student Survey (N = 72 324) and includes public school students (Mage = 15.49) and youth incarcerated in juvenile correctional facilities (Mage = 15.48). We categorized youth into 4 groups: (1) non-SGM youth in public schools, (2) non-SGM youth in correctional facilities, (3) SGM youth in public schools, and (4) SGM youth in correctional facilities. Multivariable regression models assessed associations among SGM and incarceration statuses and mental health indicators after controlling for sociodemographic characteristics and exposure to adverse childhood experiences. More youth in juvenile correctional facilities identified as SGM (28.8%) compared with youth in public schools (20.4%, P = .002). SGM youth in correctional facilities reported a higher prevalence of suicidal ideation (42.2%), suicide attempt (37.5%), and self-harm (57.8%) compared with all other groups. Depressive symptom severity was similarly elevated among SGM youth in correctional facilities and SGM youth in public schools. SGM youth in correctional facilities, compared with non-SGM youth in public schools, demonstrated elevated odds of suicide ideation (adjusted odds ratio [aOR] = 2.2, 95% confidence interval [95% CI] = 1.3-3.9), suicide attempt (aOR = 6.3, 95% CI = 3.6-10.9), and self-harm (aOR = 3.6, 95% CI = 2.1-6.3). Incarcerated SGM youth disproportionately experience negative mental health indicators. Findings suggest that tailored, intersectional, and responsive mental health interventions are needed to support incarcerated SGM youth.