The mental health needs of children and adolescents living with HIV (ALHIV) in Namibia are poorly understood, despite the dramatic improvement in their survival. ALHIV in resource poor contexts face particular risk factors, such as poverty, orphanhood, and poor social support. This study examines the mental health of ALHIV in Namibia, and the factors that contribute to mental health problems. A case–control design assessed emotional and behavioural symptoms of distress, risk and protective factors among adolescents aged 12–18 years. Case participants were 99 HIV-positive adolescents. Case controls were 159 adolescents from the same community who were not known to be HIV seropositive at the time of the study. Control group participants were selected from schools using a stratified random sampling. A larger proportion of HIV-positive adolescents were orphaned (62.6% vs. 20.8%, p < .001); the groups showed no differences in poverty factors. HIV-positive adolescents scored lower than the control group on total perceived social support (p < .05) and caregiver support (p < .05), but no differences in perceived friend support and support from a self-selected person were present. HIV-positive adolescents reported significantly more total emotional and behavioural difficulties (p = .027) and conduct problems (p = .025), even after controlling for socio-demographic factors. However, after controlling for the effects of orphanhood, group differences in mental health outcomes were no longer significant. Furthermore, mediation analysis suggested that social support completely mediated the relationship between HIV status and mental health (standardised pathway coefficients = .05, p = .021). Policies and programmes that aim to strengthen social support and take orphanhood status into consideration may improve the mental health of adolescents living with HIV.