According to Self‐Discrepancy Theory research, perceiving mismatches between personal aspects of the self‐concept is associated with negative psychological consequences, including depression and anxiety. However, the impact of perceiving mismatches between collective and personal self‐aspects is still unknown. In a first step to address this gap, we introduce collective/personal self‐discrepancies—perceived mismatches between a desired self‐aspect and a collective identity. For ethnic minority group members (n = 147), collective/ personal self‐discrepancies were associated with more severe anxiety and depression symptoms. Bootstrapping analyses suggest that these relations are mediated by self‐discrepancies experienced at the personal level, but only for group members presenting average or high levels of ethnic identification. This study reaffirms the importance of collective identities, especially as potential antecedents of issues with personal aspects of the self‐concept. The findings are further discussed in terms of their significance for ethnic minority group members, who often highly identify with their minority groups.