Background In China, there are around 274 million rural–urban migrants, an estimated 61 million children left behind in rural areas by parents, and 29 million children who accompany their parents to cities. The aim of this study was to compare the psychosocial adjustment and behaviours of left‐behind children and migrant children. Methods Full data were available for 761 left‐behind children and 1,392 migrant children aged 11 to 17 in Zhejiang Province, eastern China. Participants completed a questionnaire focusing on migration status, risks behaviours, and psychological well‐being, measured with the Strengths and Difficulties Questionnaire. Results There were more left behind girls and more urban migrant boys (p < .001). The mean scores on the Strengths and Difficulties Questionnaire were all higher in left‐behind children than migrant children: for emotional symptoms (3.82 vs. 3.03, p < .001), conduct problems (2.55 vs. 2.41, p = .048), hyperactivity (4.25 vs. 3.81, p < .001), and total difficulties (13.46 vs. 12.00, p = .020), whereas the prosocial score was lower (6.68 vs. 6.90, p < .001), all indicating lower levels of well‐being in left‐behind children. Overall, 11.4% of left‐behind children and 8.8% of migrant children scored in the abnormal range for total difficulties. Left behind girls were particularly vulnerable to emotional problems. Left‐behind children were more likely to admit to stealing and cheating on exams, but there were no differences in other risks behaviours, such as smoking and drinking. Conclusions Migration with parents, rather than separation from parents, was associated with better psychological well‐being and fewer behavioural problems. Our findings have relevance for migrant parents in helping to inform decisions about where to raise their children as well as for policymakers in countries where migration is a major issue. When children are left behind, models of community support need to be considered, especially for those who are most vulnerable.