Stress can impact various aspects of a person's well‐being. While some researchers have suggested that consumption‐related activities may cause stress, no research has yet explored such stress among vulnerable, younger consumers. To better understand this phenomenon, the concept of adolescents’ perceived brand deprivation stress (BDS) is introduced as a state of tension perceived negatively by a young consumer when he or she does not have specific brands from a particular product category. In a series of three studies with adolescents aged 11–17 years, a reliable and valid measure of BDS is developed and a framework encompassing antecedents and consequences of it is tested. This research demonstrates that an adolescent's peer group compared to the media exerts the strongest influence on BDS which is also affected by product involvement and age. In turn, stress influences both brand purchase intentions and psychosomatic illnesses, with the latter being reduced by consumer self‐confidence. The studies show that BDS is real, but seemingly problematic for only a small portion of vulnerable adolescents. The findings suggest that marketers should be cautious when targeting young consumers and that educational programs aimed at developing consumer skills and confidence in adolescents are advisable.