The social gradient in adolescent mental health is well established: adolescents’ socioeconomic status is negatively associated with their mental health. However, despite changes in social cognition during adolescence, little is known about whether social cognitions mediate this gradient. Therefore, this study tested this proposed mediational path using three data waves, each 6 months apart, from a socioeconomically diverse sample of 1,429 adolescents (Mage = 17.9) in the Netherlands. Longitudinal modeling examined whether three social cognitions (self-esteem, sense of control, and optimism) mediated associations between perceived family wealth and four indicators of adolescent mental health problems (emotional symptoms, conduct problems, hyperactivity, and peer problems). There was evidence of a social gradient: adolescents with lower perceived family wealth reported more concurrent emotional symptoms and peer problems and an increase in peer problems 6 months later. Results also showed evidence of mediation through social cognitions, specifically sense of control: adolescents with lower perceived family wealth reported a decrease in sense of control (though not self-esteem nor optimism) 6 months later, and lower sense of control predicted increases in emotional symptoms and hyperactivity 6 months later. We found concurrent positive associations between perceived family wealth and all three social cognitions, and concurrent negative associations between social cognitions and mental health problems. The findings indicate that social cognitions, especially sense of control, may be an overlooked mediator of the social gradient in adolescent mental health.