Migration is an increasing worldwide phenomenon that creates multicultural societies with a growing number of adolescents who have experienced a process of migration or who have an ethnic background other than that of the majority. Migration may lead to loss of social relations and create challenges related to acculturation in the new country. These experiences may induce feelings of loneliness. Research on ethnic and migrant disparities in loneliness among adolescents is limited and inconsistent. The purpose of this study was to examine how adolescents’ immigration background and self-identified ethnicity are associated, independently and combined, with loneliness. We used data from the Danish 2010 Health Behaviour in School-aged Children survey which included a representative sample of 3083 13- and 15-year-olds. The results suggest that immigrants but not descendants of immigrants have an increased risk of loneliness compared to adolescents with a Danish origin. The results also suggest that adolescents’ self-identified ethnicity plays an essential role but differently for immigrants and descendants: identifying with the Danish majority was protective against loneliness among immigrants, whereas identifying with an ethnic minority group was protective against loneliness among descendants.