Food insecurity contributes to various stress-related health problems and previous research found that its association with mental illness is stronger in more affluent countries. We hypothesised that this pattern is a function of relative deprivation whereby the severity of individual food insecurity relative to others in a reference group determines its associations with mental health and wellbeing after differences in absolute food insecurity are controlled for. Using survey data from the Gallup World Poll collected in 160 countries and a measure of relative deprivation (Yitzhaki index), we found that relative food insecurity—based on national or regional reference groups—related to more mental health symptoms, lower positive wellbeing and lower life satisfaction after controlling for absolute food insecurity, household income, and country differences. Our analysis also found that relative food insecurity was more strongly related to mental health and wellbeing where the prevalence of food insecurity was lower. The findings underscore the negative health consequences of material deprivation and unfavorable social comparisons. Consistent with relative deprivation theory, individuals who live with constant worries about not getting enough food, have to skip meals, or face chronic hunger are deprived of material and social resources that support mental health and wellbeing, especially in settings where food insecurity is less common and potentially more stigmatised. The implications of these findings for global food policy and surveillance efforts are discussed.