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This study analyzed the role of the social context including classroom, school, and family-related factors in predicting social and emotional learning skills. Participants were 6,037 15-year-old Hong Kong students. Machine learning analysis was used to analyze the data. Results revealed that classroom- (i.e., stimulating instruction), school- (i.e., school belonging and learning attitudes), and family-related factors (i.e., socioeconomic status) were important for five socio-emotional skills. In particular, responsible decision-making and social awareness were negatively predicted by school discrimination, while self-management was positively predicted by direct instruction. Self-awareness was positively linked to parental emotional and learning support, and relationship skills were best predicted by school cooperation. The study provides crucial insights into key social-contextual factors impacting social and emotional learning skills.