Homeless youth frequently meet diagnosis criteria for depressive and/or substance use disorder(s). Although prior research has established that both social connectedness and self-efficacy buffer vulnerable youth’s adverse health outcomes, few studies have compared the potential of these protective factors on homeless youth’s mental well-being. The current study analyzes comparative effects of social connectedness and self-efficacy on meeting criteria for major depressive disorder, substance use disorder, and the co-occurrence of both disorders among a sample of 601 service-seeking homeless youth in Austin, Denver, and Los Angeles. Hierarchical logistic regressions indicate that while both social connectedness and self-efficacy constructs are valuable protective factors, social connectedness may offer greater utility, particularly in buffering against more complex mental health outcomes, such as the co-occurrence of depressive and substance use disorders. Accordingly, resource-strapped homeless youth service providers and researchers may benefit from tailoring mental health intervention strategies to further emphasize social connectedness in future efforts.