Gender-Sexuality Alliances (GSAs), which are student-initiated school clubs for LGBTQ youth and allies, can reduce victimization for lesbian, gay, bisexual, transgender, and queer (LGBTQ) youth. This preregistered study identified heterogeneous correlates of GSAs, based on data from an anonymous survey of LGBTQ adolescents aged 13–17 years living in the United States (N = 10,588). In line with the healthy context paradox (Pan et al. [Child Development, 92, 2021, and 1836]), the presence of a GSA exacerbated associations between LGBTQ-based victimization and depressive symptoms, lower self-esteem, and lower academic grades—particularly in transgender youth. Inclusive settings, such as GSAs, might prevent increasing disparities by including tailored strategies to monitor and support more vulnerable, victimized LGBTQ youth.