This study considers how the psychological adjustment of ethnic minority college students may be linked to a sense of school belonging and ethnic identity, two constructs related to individuals feeling like they belong to a larger group. Using self-reports from 311 undergraduates from ethnic minority backgrounds, school belonging was found to be negatively associated with depressive symptoms, and positively associated with perceived self-worth, scholastic competence, and social acceptance, while ethnic identity was only found to be positively associated with self-worth. Furthermore, the interaction between ethnic identity and school belonging was significantly associated with self-worth, suggesting that in the absence of a sense of belonging at school, stronger ethnic identity was linked to higher self-worth. College students reported the lowest levels of self-worth when they were neither connected to their college nor connected to their ethnic group.