Although disparities in mental health occur within racially, ethnically, and gender-diverse civilian populations, it is unclear whether these disparities persist within U.S. military populations. Using cross-sectional data from the Millennium Cohort Study (2014-16, n=103,184, 70.3% men, 75.7% non-Hispanic White), a series of logistic regression models were conducted to examine whether racial, ethnic, and/or sex disparities were found in mental health outcomes (posttraumatic stress disorder [PTSD], depression, anxiety, problematic anger), hierarchically adjusting for sociodemographic, military, health-related, and social support factors. Compared with non-Hispanic White individuals, those who identified as American Indian or Alaska Native, non-Hispanic Black, Hispanic/Latino or Multiracial showed greater risk of PTSD, depression, anxiety, and problematic anger in unadjusted models. Racial and ethnic disparities in mental health were partially explained by health-related and social support factors. Women showed greater risk of depression and anxiety and lower risk of PTSD than men. Evidence of intersectionality emerged for problematic anger for Hispanic/Latino and Asian or Pacific Islander women. Overall, racial, ethnic, and sex disparities in mental health persisted among service members and veterans. Future research and interventions are recommended to reduce these disparities and improve the health and well-being in diverse service members and veterans.