Background: This study investigates the association between forms of capital and mental health among unemployed youth, with a specific focus on the mediating role of feelings of deprivation and self-esteem as “mechanisms of embodiment”. Methods: The study is based on a primary data collection among unemployed Brussels youth in the transition from education to employment (2015; 18- to 29-year-olds; N = 1151). Multi-group Structural Equation Modeling (SEM) is used to explore the association between forms of capital, mechanisms of embodiment and mental health. Results: Our results show that different forms of capital are related to the mental health of unemployed youth. These associations are partly mediated by feelings of deprivation and self-esteem. Clear gender differences in these relations are found. Conclusions: The results of this study contribute to the body of knowledge regarding the mental health situation during the transition from education to employment, by showing how “subjective mechanisms” are explaining the relations between “objective resources” and mental health.