Sexual minority youth experience elevated rates of internalizing disorders; it is, therefore, important to identify protective factors that decrease risk for psychological distress in this population. In this study, we examined whether involvement in a romantic relationship, a well-established protective factor for mental health among heterosexual adults, is also protective for young sexual minorities. Using eight waves of data provided by a community sample of 248 racially diverse sexual minority youth (ages 16–20 years at baseline), we assessed within-person associations between relationship involvement and psychological distress. Results from multilevel structural equation models indicated that, overall, participants reported less psychological distress at waves when they were in a relationship than when they were not. However, findings differed as a function of race/ethnicity and sexual orientation. Specifically, although relationship involvement predicted lower psychological distress for Black and gay/lesbian participants, the association was not present for White participants and, for bisexuals, relationship involvement predicted higher distress. In addition, relationship involvement reduced the negative association between victimization based on sexual minority status and psychological distress, suggesting a stress-buffering effect that did not differ based on demographic factors. Together, these findings suggest that being in a romantic relationship may promote mental health for many, but not all, young sexual minorities, highlighting the importance of attending to differences among subgroups of sexual minorities in research, theory, and efforts to reduce mental health disparities.