Background: The number of young Japanese Brazilians, who are return migrants with Japanese ancestral roots, is increasing rapidly in Japan. However, the characteristics of their mental health and the relation between mental health and a complex ethnic identity remains unclear. Methods: This cross-sectional study compared 25 Japanese-Brazilian high school students with 62 Japanese high school students living in the same area. Research using self-report questionnaires on mental health, help-seeking behavior tendencies, and ethnic identity was conducted. The Japanese-Brazilian group was also divided into high and low ethnic identity groups, and their mental health conditions were compared. Results: The Japanese-Brazilian group had significantly poorer mental health conditions and lower ethnic identities than the Japanese group and were less likely to seek help from family members and close relatives. Among the Japanese Brazilians, those with low ethnic identity had significantly poorer mental health than those with high ethnic identity. Conclusions: Young Japanese Brazilians may face conflicts of ethnic identity that can disturb their mental health. To build an inclusive society, the establishment of community services to support mental health and to help return migrants develop their ethnic identity is essential.