What strategies help ethnic minority adolescents to cope with racism? The present study addressed this question by testing the role of ethnic identity, social support, and anger expression and suppression as moderators of the discrimination–adjustment link among 269 Mexican‐origin adolescents (Mage = 14.1 years), 12–17 years old from the Midwestern U.S. Results from multilevel moderation analyses indicated that ethnic identity, social support, and anger suppression, respectively, significantly attenuated the relations between discrimination and adjustment problems, whereas outward anger expression exacerbated these relations. Moderation effects differed according to the level of analysis. By identifying effective coping strategies in the discrimination–adjustment link at specific levels of analysis, the present findings can guide future intervention efforts for Latino youth.