Previous research has identified ethnic group identification as a moderator in the relationship between perceived ethnic discrimination and problem behaviors in ethnic minority children. However, little is known about the influence of religious and host national identification on this relationship. This study investigated the moderating role of ethnic, religious, and host national identification on the relationship between perceived discrimination and problem behaviors in Muslim immigrant early adolescents living in the Netherlands. Analyses revealed gender-specific moderating effects for ethnic and religious group identification. For boys, no moderating effects were found. For girls, strong religious group identification increased the relationship between perceived ethnic discrimination and problem behaviors, whereas a strong ethnic identification served a buffering role. No moderating effects were found for host national identification. The findings underline the importance of including different types of group identification in research on the relation between perceived discrimination and immigrant adolescent problem behaviors.