This paper presents findings from a qualitative study exploring how students at a university in the southern USA conceptualize, theorize, and attempt to influence the role ‘social factors’ play in mental illness and well-being. Drawing on models of research co-production and principles of critical pedagogy, a group of 10 university students (‘student researchers’) worked with a faculty member to develop and conduct the study. The results highlight three ways in which the student interviewees (‘student interlocutors’) theorize ‘the social’. The first two – (1) via the ‘social determinants of health’ and (2) by means of theories on ‘neoliberal subjectivity’ – provide a powerful frame for interrogating hierarchical systems of power. However, because neither of these corresponds to our interest in producing knowledge for social change, we used prefigurative and speculative approaches to explore a third notion of the social, that of (3) ‘world-making practices’. We conclude by reflecting on the relevance of this project for educators, learners, and researchers seeking to deepen knowledge and theories of the social in mental health. We argue that co-produced research that draws from principles of critical pedagogy can enhance interdisciplinary collaboration and lead to more nuanced, transformative, and innovative analyses.