Low socioeconomic status (SES) has been established as a risk factor for poor mental health; however, the relationship between SES and mental health problems can be confounded by genetic and environmental factors in standard regression analyses and observational studies of unrelated individuals. In this study, we used a within-pair twin design to control for unmeasured genetic and environmental confounders in investigating the association between SES and psychological distress. We also employed within–between pair regression analysis to assess whether the association was consistent with causality. SES was measured using the Index of Relative Socio-economic Disadvantage (IRSD), income and the Australian Socioeconomic Index 2006 (AUSEI06); psychological distress was measured using the Kessler 6 Psychological Distress Scale (K6). Data were obtained from Twins Research Australia’s Health and Lifestyle Questionnaire (2014–2017), providing a maximum sample size of 1395 pairs. Twins with higher AUSEI06 scores had significantly lower K6 scores than their co-twins after controlling for shared genetic and environmental traits (βW [within-pair regression coefficient] = −0.012 units, p = .006). Twins with higher income had significantly lower K6 scores than their co-twins after controlling for familial confounders (βW = −0.182 units, p = .002). There was no evidence of an association between the IRSD and K6 scores within pairs (βW, p = .6). Using a twin design to eliminate the effect of potential confounders, these findings further support the association between low SES and poor mental health, reinforcing the need to address social determinants of poor mental health, in addition to interventions targeted to individuals.