Background: The study had two aims: first, to investigate trends in socioeconomic inequalities in psychological distress and loneliness among Norwegian adolescents, and second, to study variation and covariation of psychological distress and loneliness within adolescents and between siblings within families. Methods: Multivariate mixed models were used to investigate trends in socioeconomic inequality in psychological distress and loneliness using three separate cohorts of Norwegian adolescents from the Young-HUNT study conducted in 1995–1997 (Young-HUNT1, n = 8980), 2006–2008 (Young-HUNT3, n = 8199) and 2017–2019 (Young-HUNT4, n = 8066). Register data on parental education level was used as a marker of socioeconomic position (SEP), and a unique family number was used to identify adolescents belonging to the same family. A three-level multivariate mixed model was created, consisting of the outcomes at level 1, adolescents at level 2 and families at level 3. Results: No statistically significant difference in scores on loneliness and psychological distress was observed between low and high parental education level in Young-HUNT1, whereas in Young-HUNT4, low parental education level was associated with a higher score on both psychological distress (β = 0.09; 95% confidence interval (CI), 0.03–0.14) and loneliness (β = 0.12; 95% CI 0.07–0.17). Analyses of covariation between psychological distress and loneliness showed that they were correlated within adolescents and strongly correlated within families across all timepoints. Conclusions: Increasing socioeconomic inequalities in psychological distress and loneliness among Norwegian adolescents is worrisome. Further, the family seems to be an important arena for potential prevention of psychological distress and loneliness among adolescents, regardless of parental education level.