Mental health disparities have received increased attention in the literature in recent years. After considering 165 different health disparity conditions, the Federal Collaborative for Health Disparities Research chose mental health disparity as one of four topics warranting its immediate national research attention. In this essay, we describe the challenges and opportunities encountered in developing a research agenda to address mental health disparities in the United States. Varying definitions of mental health disparity, the heterogeneity of populations facing such disparity, and the power, complexity, and intertwined nature of contributing factors are among the many challenges. We convey an evolving interagency approach to mental health disparities research and guidance for further work in the field.