BACKGROUND:  The Nordic welfare system has been acknowledged as favourable for children, successfully contributing to low child mortality and poverty rates. Nevertheless, mental health problems among children and adolescents are common and the economic situation of the family has been highlighted as an important determinant. In spite of similar social, political and cultural structures, the Nordic countries differ; Iceland was most affected by the global financial crisis in 2008. The aim of this study was to examine potential differences in parental financial stress and the associations to child mental health between the Nordic countries as well as age and gender differences.  METHODS:  The study sample consisted of 6330 children aged 4-16 years old included in the 2011 version of the Nordic Study of Children's Health, Wellbeing and Quality of life. The Strengths and Difficulties Questionnaire was used to measure mental health problems.  RESULTS:  In Iceland, 47.7% of the parents reported financial stress while ≤20% did so in the other countries except for Finland (33.5%). However, in case of parental financial stress the OR of mental health problems comparing children to parents with and without financial stress was significantly lower among the Icelandic children (OR 1.60, 95% CI 1.15-2.24) than among the others: Denmark OR 3.07 (95% CI 2.15-4.39), Finland OR 2.28 (95% CI 1.60-3.25), Norway OR 2.77 (95% CI 1.86-4.12), Sweden OR 3.31(95% CI 2.26-4.86). No significant age or gender differences in the ORs were observed.  CONCLUSIONS:  Besides socioeconomic situation, relative deprivation should be considered an important determinant of child mental health.