The aim of the present study was to evaluate the relationship of ethnic identity and acculturation strategies with psychological well-being among adolescents with an immigrant background in Kenya. A total of 269 adolescents from five high schools were involved. The sample included adolescents from Asian, Arab, and Somali immigrant backgrounds alongside native-born. A wide set of measures including the Multigroup Ethnic Identity Measure, Measure of Acculturation Orientation, Social Demographic Questionnaire, General Health Questionnaire and the Brief Students Multi-Dimensional Life Satisfaction Scale were administered. Ethnic identity (particularly the subscale on sense of ethnic belonging) was positively correlated with life satisfaction and psychological well-being. Moreover, cultural orientation towards the country of origin was closely related to psychological well-being. In conclusion, ethnic identity was associated with better psychological well-being among Kenyan adolescents. Conceptual models developed in the West can be applied in the African context when both sociocultural and economic factors are taken into consideration.