Psychological distress and mental illness has been found to be elevated in migrant groups living in sovereign countries, as well as for indigenous people living under colonial or administrative rule. The north Pacific island of Guam is unusual in its ethnic composition as it has no majority ethnic group, has a large indigenous population and remains a territory of the U.S. This study aimed to identify ethnic differences in self-reported psychological distress between the main ethnic groups on Guam. The study uses a cross sectional design with data linkage methodology, drawing on the Guam Census and the Behavioral Risk Factor Surveillance System health survey for Guam. The results showed that the native Chamorro population had worse self-reported psychological distress (defined as a ‘mental health condition or emotional problem’) than White/Caucasians (OR 2.09, 95% CI 1.52–2.87), particularly for severe distress (OR 3.61, 95% CI 1.33–2.77). This relationship persisted even after adjusting for a wide range of socio-demographic and economic factors (OR 2.58, 95% CI 1.15–5.76). Other Pacific Islanders also had higher psychological distress compared to White/Caucasians, but this association was largely explained by the adjusted factors. The findings are discussed in terms of social and economic disadvantage for Pacific Island peoples on Guam, as well as the impact of colonial administration, disaffection, and lack of autonomy for the Chamorro of Guam. Recommendations are made to improve psychiatric treatment for these groups by considering wider socio-political factors in assessment and treatment, as well as broader implications for the national dialogue on self-determination.