Experiencing discrimination is associated with poorer mental health and the demographic patterning of discrimination may explain social inequalities in mental health. The present research examined prevalence of perceived discrimination in the UK and associations with social inequalities in mental health. Data were taken from the UK Household Longitudinal Study (n = 32,003). Population subgroups (sex, age, ethnicity, health, religiousness, income, education, and occupation), perceived personal discrimination (personal experience) and perceived belonging to a discriminated group (identified as belonging to a group discriminated against in this country), and probable mental health problems (GHQ-12 assessed, cut off 4+) were reported on in 2019/2020. Nineteen percent of participants perceived personal discrimination in the last year, 9% perceived belonging to a discriminated group, and 22% had probable mental health problems. There were significant inequalities in both perceived discrimination and mental health. Being a younger adult, of mixed ethnicity, having health problems, having a university degree, and being unemployed increased risk of mental health problems and these associations were partially explained by perceived discrimination being more common among these groups. Perceived discrimination is common among UK adults, but prevalence differs by population subgroup. Perceived discrimination may contribute to social inequalities in mental health.