Social factors, such as social cognition skills (SCS) and social determinants of health (SDH), may be vital for mental health, even when compared with classical psycho-physical predictors (demographic, physical, psychiatric, and cognitive factors). Although major risk factors for psychiatric disorders have been previously assessed, the relative weight of SCS and SDH in relation to classical psycho-physical predictors in predicting symptoms of mental disorders remains largely unknown. In this study, we implemented multiple structural equation models (SEM) from a randomized sample assessed in the Colombian National Mental Health Survey of 2015 (CNMHS, n = 2947, females: 1348) to evaluate the role of SCS, SDH, and psycho-physical factors (totaling 17 variables) as predictors of mental illness symptoms (anxiety, depression, and other psychiatric symptoms). Specifically, we assessed the structural equation modeling of (a) SCS (emotion recognition and empathy skills); (b) SDH (including the experience of social adversities and social protective factors); (c) and classical psycho-physical factors, including psychiatric antecedents, physical–somatic factors (chronic diseases), and cognitive factors (executive functioning). Results revealed that the emotion recognition skills, social adverse factors, antecedents of psychiatric disorders and chronic diseases, and cognitive functioning were the best predictors of symptoms of mental illness. Moreover, SCS, particularly emotion recognition skills, and SDH (experiences of social adversities, familial, and social support networks) reached higher predictive values of symptoms than classical psycho-physical factors. Our study provides unprecedented evidence on the impact of social factors in predicting symptoms of mental illness and highlights the relevance of these factors to track early states of disease.