Previous studies have established the role of various measures of cognitive functioning in dampening the association between adverse life events (‘life stress’) and adolescents’ emotional and behavioural problems. However, it is not yet clear if general cognitive ability (‘intelligence’) is a protective factor. In this study of 1,175 10‐ to 19‐year‐olds in five secondary schools in England, we explored this issue. We found that even after controlling for sex, age, family poverty, and special educational needs, the association of life stress with emotional, hyperactivity, and conduct problems was significant. General cognitive ability moderated the association between life stress and conduct problems; among adolescents with higher than average general cognitive ability, the association between life stress and conduct problems was non‐significant.