As societies become more multicultural, citizens need to develop self‐regulatory mechanisms in order to successfully cope with the increasing levels of psychosocial stress related to acculturation. In this study, a longitudinal theoretical model was tested in order to evaluate the role of implicit theories of cultural intelligence, causal attributions, perceived social support, and cultural identity as predictors of acculturative stress. The research was carried out in Spain across three consecutive years with a multicultural sample of 292 students (natives and immigrants). The results confirm the proposed theoretical model using multi‐group structural equation modelling to test the equivalence of the longitudinal causal structure in immigrants and natives. Moreover, mediation analyses confirmed the mediating effect of cultural identity between the implicit theories of cultural intelligence and acculturative stress, as well as the mediating effect of perceived social support between causal attributions and acculturative stress. The model indicates the relevance of promoting psychosocial interventions with native and immigrant adolescents in intercultural contexts. In those interventions, it will be relevant to promote incremental implicit theories of cultural intelligence and internal causal attributions, as well as to highlight a more intercultural identity and to encourage greater social support networks.