This study examines the socioeconomic status gradients in children’s well‐being at school using data on the total population of Danish public school children age 6–11 (N = 147,994). Children completed the national well‐being at school survey, an environment‐specific self‐report of satisfaction with school, social well‐being at school, and psychological well‐being at school. Data were linked with administrative register data on family characteristics. Regression analysis was used to estimate gradients by parental education and income for each of the three dimensions of well‐being at school. Findings indicated that even in the relatively equal Danish context, children from more educated and higher‐income families experienced greater satisfaction with school and higher social and psychological well‐being at school than their less advantaged peers.