This paper explores the complex, hierarchical relationship among school characteristics, individual differences in academic achievement, extracurricular activities, and socioeconomic background on performance on the SAT Reasoning Test™ verbal and mathematical sections. Using multilevel structural equation models (SEMs) with latent means, data from a national sample of college-bound high school students were analyzed. A nested series of structural equation models were fit simultaneously to eight subgroups (disaggregated by both gender and ethnicity) of high school students. Analyses suggest that multilevel structural equation models provide a reasonably good fit to the data, that family background influences SAT® scores directly and indirectly, that learning opportunities in and outside the school curriculum are related to SAT performance, and that the characteristics of the schools matter when it comes to performance on the SAT. The paper's main contention is that context matters and that researchers ought to move beyond analyses of individual differences when attempting to understand performance on large-scale standardized tests. An appendix contains 2 tables.