How important is the role that the different social institutions play in adolescents' emotional development? This study alludes to the social capital framework to explain the influence that the family, school and peer relations have on the social-emotional competencies (SEC) of adolescents, immigrants and locals living in Southeastern Spain. Three social capital and socio-emotional competencies assessments scales were used in the study with 1614 pupils from 7 secondary schools. The results show that: (1) The social capital is a predictive and explanatory factor in adolescence. (2) The social relations that influence the SEC the most are those developed at school, followed by peer relations and, lastly, the family. (3) Spanish and Romanian teenagers show higher social capital and more SEC than Moroccans. (4) There are SEC gender differences among the Spanish group. (5) An immigrant school puzzle is observed in the Moroccan teenagers group who value school the most. (6) The family's low emotional influence, particularly among Moroccan women, suggests that there is a deterioration of the institution and the existence of inter-generational differences. According to the results, schools remain a privileged space for SEC intervention programmes.