Psychological distress is an increasingly recognized public health priority in low-income countries due to its long-term physical, social, and economic impact. The purpose of this study was to compute the prevalence of self-reported psychological distress among youth living in the slums of Kampala, Uganda and examine how orphan status and self-reported experiences of commercial sexual exploitation (CSE) are related to psychological distress. Data were derived from a cross-sectional survey which consisted of a convenience sample of service-seeking youth (N = 1134) living in the slums or on the streets of Kampala, Uganda. Bivariate and multivariable multinomial regression analyses were used to determine associations between orphan status, self-reported experiences of sexual exploitation, and psychological distress defined as experiencing hopelessness only, worry only, and worry/hopelessness co-occurrence. Among youth participants, 83.2% (n = 937) reported at least 1 type of psychological distress; 51.3% (n = 578) reported experiencing both types. The reported prevalence of any type of psychological distress was much higher among single double orphans (90.0%), single orphans (83.8%), and youth who reported experiencing sexual exploitation (91.2%). Experiencing both types was associated with being a double orphan (adjusted odds ratio (AOR) = 2.92, 95% confidence interval (95% CI) = 1.77, 4.81), reporting CSE (AOR = 2.71, 95% CI = 1.67, 4.41), and increased age (AOR = 1.31, 95% CI = 1.20, 1.44). Psychological distress is prevalent among youth living in the slums of Kampala and is associated with orphan status and experiencing CSE independently. These findings underscore the urgent need to intervene with youth who have lost both parents and to prevent CSE among this vulnerable, underserved population.