Ethnic identity is considered a psychocultural asset of indigenous. Yet, the search for own ethnic identity can induce unpleasant feelings, especially for indigenous peoples who have encountered colonisation and oppression. Using indigenous peoples in Taiwan, this study examined the protective effect of perceived social support on the associations between ethnic identity and the adverse mental health of anxiety and depression. Participants were self-identified indigenous peoples in Taiwan (n = 200; mean age = 29). A cross-sectional quantitative survey was adopted. Hypotheses were tested with structural equation modelling. Findings were: (1) low ethnic identity commitment was associated with high levels of depression and anxiety. (2) High ethnic identity exploration was associated with high levels of depression and anxiety. (3) Perceived social support was negatively associated with depression and anxiety. (4) Perceived social support protected participants with low ethnic identity commitment from developing depressive and anxiety. (5) Perceived social support protected participants with high ethnic identity of exploration from experiencing depressive symptoms, but not anxiety. Results highlighted the protective role of perceived social support in indigenous peoples with low levels of ethnic identity commitment and high ethnic identity exploration. Implications on using social support interventions to mobilise ethnic identity as a psychocultural asset were discussed.