Decades of research shows that sexual minority youth (SMY) display heightened risk for mental health problems, although the onset of such disparities remains unclear. The Millennium Cohort Study is the largest nationally representative longitudinal study of adolescents in the United Kingdom. In this study, participants (N = 10,047, 50% female) self-reported their sexual identity at age 17 and had parent-reported mental health data, from the Strengths and Difficulties Questionnaire, reported across five waves at ages 5, 7, 11, 14, and 17. Multilevel linear spline models, stratified by sex, were used to examine mental health trajectories between sexual identity groups (completely heterosexual, mostly heterosexual, SMY). SMY showed heightened peer problems from the baseline assessment at age five, increasing over time, and heightened emotional problems from age 11, increasing over time. Mostly heterosexual youth showed heightened emotional problems at age 11 in males, and at age 17 in females. Findings are discussed in light of the literature on minority stress and gender conformity in youth. The use of parent-reported mental health data means that estimates are likely to be conservative. We conclude that interventions supporting SMY should start early and be available throughout adolescence.