This study explored Chinese students’ concept of mental health through a questionnaire completed by 999 students from six primary schools, six high schools, and three universities in Shanghai. The results confirmed the expectation that Chinese students’ mental health concept would be multifaceted and would reflect psychological, physical, and sociocultural factors. An exploratory factor analysis on 12 mental health items with a subsample extracted a three-factor model, which was cross-validated by confirmatory factor analysis with a different subsample. These three factors were labeled as Affective Strength, Adaptive Strength, and Personal Strength. No gender differences were found. The grade differences supported the notion that Chinese students’ concept of mental health seems to be more consistent with the developmental paradigm of health. The senior years in primary school could be the turning point at which children start to conceptualize health as a holistic experience by recognizing the importance of mental health.