Few studies have compared urban and rural adolescents' mental health problems, especially in developing countries. The purpose of this study was to investigate the mental health problems and coping styles of adolescents in urban and rural areas in China. A total of 927 urban and rural high school students in Shandong Province of China were recruited for the study. The results of the study are as follows: (a) students in rural low-socioeconomic status (SES) areas, especially females, had more mental health problems than did those in rural high-SES and urban areas; (b) rural low-SES students were more likely to cope by venting and fantasizing than did the other two groups; (c) regardless of residence and SES, mental health problems were inversely related to the use of problem solving as a coping strategy, but positively related to fantasizing; and (d) urban-rural differences in mental health problems were not entirely accounted for by group differences in coping strategies. © 2011 Wiley Periodicals, Inc.