This study examines linkages between ethnicity and symptoms of depression among adolescents, with a specific focus on the intersection of individual- and contextual-level risk factors. Data are from the National Longitudinal Study of Adolescent Health (Add Health), a panel survey of a nationally representative United States sample (analytic N = 18,473) of students in the 7th through 12th grades. Depressive symptoms are measured with a 16-item subscale of the Center for Epidemiologic Studies-Depression Scale. Hierarchical linear modeling is used to estimate the simultaneous effects of individual-level ethnicity, sex, age, family structure, and socioeconomic status (SES), and community-level ethnic composition and SES, operationalized by collapsing United States Census tract data to the school sampling area. There is significant variation in depressive symptoms among sampling areas and both individual- and contextual-level characteristics exert effects on depressive symptomatology. The impact of individual-level ethnicity on depressive symptoms depends upon characteristics of the sampling area, in that African American teens living within predominantly Non-Hispanic White areas are at especially high risk for frequent depressive symptoms. The findings demonstrate that the emotional consequences of membership in an ethnic group are in some instances contingent upon social context.