The period of transition between education and employment can be difficult for young people, particularly young immigrants. Human capital theory argues that higher levels of educational attainment should lead to improved likelihood of employment. However, although young immigrants have higher, on average, levels of educational attainment than longer term Australians, rates of unemployment are higher among immigrants. Previous research indicates that there are strong links between education, employment and levels of well-being. In this paper, I present findings from analysis of data collected by the Longitudinal Surveys of Australian Youth project. My research questions examine whether young immigrants differ from their Australian peers in terms of their levels of self-reported well-being, conceptualised as psychological well-being. The results show that, net of the effects of general health, socio-economic status, education, employment status and partnership status, male first-generation immigrants from refugee source countries reported the lowest levels of psychological distress and that female, first-generation immigrants from refugee source countries reported the highest levels of psychological distress at age 25.