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In a large, population-based sample in Sweden, we sought to examine mental health disparities between lesbian, gay and bisexual (LGB) and heterosexual individuals with different immigration statuses. We conducted a population-based study including 1799 LGB and 69,324 heterosexual individuals, recruited in 2010 and 2014 as part of the Stockholm Public Health Cohort. Data were obtained from self-administered surveys that were linked to nationwide registers. We examined associations between mental health outcomes (i.e., psychological distress, suicidal ideation, and suicide attempt) and sexual orientation (LGB versus heterosexual), immigration status (immigrant versus Nordic-born), and their interaction. Sex-stratified weighted multivariable logistic regression analyses were used to calculate adjusted odds ratios with 95% confidence intervals. LGB individuals demonstrated substantially elevated odds of all mental health outcomes compared to heterosexuals; immigrants reported moderately elevated odds of psychological distress and suicide attempt, but not suicidal ideation, compared to Nordic-born individuals. Interaction terms between sexual orientation and immigration status were significant at p < 0.05 for psychological distress for both sexes and for suicidal ideation and attempt among women. Unexpectedly, models probing interactions generally demonstrated that Nordic-born LGB individuals demonstrated greater risk of psychological distress, suicidal ideation, and suicide attempt than did immigrant LGB individuals, especially among women. Supplemental analyses showed that Nordic-born bisexual women demonstrated the highest risk of all studied outcomes. Being LGB in Sweden is generally a stronger risk factor for poor mental health among Nordic-born than immigrant populations. These findings call for future intersectionality-focused research to delineate the unique cultural, social, and psychological factors associated with mental health and resilience among LGB immigrants.