Identity exploration has often been associated with maladaptive aspects of psychosocial functioning such as anxiety and depression. It is not known, however, whether maladaptive psychosocial functioning is related to both personal and ethnic identity exploration. In the present study, we examined the relationships of personal and ethnic identity exploration to adaptive (self-esteem, purpose in life, internal locus of control, and ego strength) and maladaptive (depression, anxiety, impulsivity, and tolerance for deviance) psychosocial functioning, as well the extent to which these relationships were mediated by identity confusion. A multi-ethnic sample of 905 White, Black, and Hispanic university students completed measures of personal and ethnic identity exploration, as well as of adaptive and maladaptive psychosocial functioning. Current personal identity exploration was negatively associated with adaptive psychosocial functioning and was positively associated with anxiety, depression, and impulsivity. An opposite pattern of relationships emerged for past personal identity exploration. All these relationships were mediated by identity confusion — positively for current exploration and negatively for past exploration. Ethnic identity exploration was not directly associated with psychosocial functioning and evidenced only a weak association through identity confusion. These findings were consistent across gender and across the three ethnic groups studied. Implications for identity theory, research, and intervention are discussed.