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Background: This cross‐sectional study aimed to investigate the association between negative mental health conditions and demographic characteristics, socioeconomic background and health‐related parameters in both Hong Kong's primary and secondary school students. Methods: A self‐administrated survey was conducted and investigated the prevalence of negative mental health conditions (psychological stress, depression and suicidality) in students from 30 primary schools and 25 secondary schools in Hong Kong in 2017. The Kessler Psychological Distress Scale (K6) was chosen as the instrument to evaluate non‐specific psychological distress. Depression was evaluated using the prolonged feeling of despair as a proxy. Suicidality was measured by four questions on whether they had ever intentionally injured themselves, seriously considered attempting suicide, planned how they would attempt suicide and had attempted suicide. Multiple logistic regression models examined the explanatory factors' association with mental health conditions after adjusting for confounding, using the enter method. Results: A total of 4884 responses were collected. It is found that both very high and low parent expectations were risk factors for multiple conditions, namely suicidality and psychological distress among primary school students, and psychological distress among secondary school students. As for primary school students, the experience of being bullied was a significant risk factor for all conditions. A significant association was found between having one's own bedroom and suicidality amongst primary school students; whilst having three close friends or more and higher life satisfaction levels were significantly associated with a lower risk of negative mental health conditions among secondary school students. Conclusions: It was found that having one's own bedroom was a risk factor for suicidality among primary school student. Parents should be alert to the risky behaviours of children, have more involvement in children's daily life and build a supportive and caring family environment for children. For secondary school students, as the importance of friends is greatly increased, teachers should encourage students to engage in extra‐curricular activities in school. [ABSTRACT FROM AUTHOR]