Objective Racism is negatively associated with health. Explorations of cognitive reactions, such as beliefs in an unjust world (BUW), are needed to understand the associations between both perceived discrimination and own‐group conformity pressures (OGCPS) and reduced psychological well‐being. Method With a sample of 215 ethnic minority individuals, this study used structural equation modeling to explore BUW's mediating role between the two aforementioned forms of ethnicity‐related stressors (ERS), anger rumination, and negative affect. Results ERS were directly positively associated with BUW, anger rumination, and negative affect. BUW were directly and positively associated with both anger rumination and negative affect. Finally, BUW significantly mediated the direct relationships between both ethnicity‐related stressors and anger rumination and negative affect. Conclusion Although addressing racism and OGCPS at a systemic level (e.g., policy, prejudice prevention) is needed to reduce ERS, these findings suggest that BUW is one point of possible clinical intervention for individuals who have experienced these stressors.