Objectives We assessed social inequalities in child mental health problems (MHPs) and how they are mediated by perinatal factors, childhood illness and maternal mental health in two national birth cohorts. Design Longitudinal cohort study Setting We used data from the UK Millennium Cohort Study and the Danish National Birth Cohort. Primary and secondary outcome measures We applied causal mediation analysis to longitudinal cohort data. Socioeconomic conditions (SECs) at birth were measured by maternal education. Our outcome was child MHPs measured by the Strength and Difficulty Questionnaire at age 11. We estimated natural direct, indirect and total effects (TEs) of SECs on MHPs. We calculated the proportion mediated (PM) via three blocks of mediators-perinatal factors (smoking/alcohol use during pregnancy, birth weight and gestational age), childhood illness and maternal mental health. Results At age 11 years, 9% of children in the UK and 3.8% in Denmark had MHPs. Compared with high SECs, children in low SECs had a higher risk of MHPs (relative risk (RR)=4.3, 95% CI 3.3 to 5.5 in the UK, n=13 112; and RR=6.2, 95% CI 4.9 to 7.8 in Denmark, n=35 764). In the UK, perinatal factors mediated 10.2% (95% CI 4.5 to 15.9) of the TE, and adding maternal mental health tripled the PM to 32.2% (95% CI 25.4 to 39.1). In Denmark, perinatal factors mediated 16.5% (95% CI 11.9 to 21.1) of the TE, and including maternal mental health increased the PM to 16.9% (95% CI 11.2 to 22.6). Adding childhood illness made little difference in either country. Conclusion Social inequalities in child mental health are partially explained by perinatal factors in the UK and Denmark. Maternal mental health partially explained inequalities in the UK but not in Denmark.