African American adolescents report more depressive symptoms than their European American peers, but the reasons for these differences are poorly understood. This study examines whether risk factors in individual, family, school, and community domains explain these differences. African American and European American adolescents participating in the Birmingham Youth Violence Study (N = 594; mean age 13.2 years) reported on their depressive symptoms, pubertal development, aggressive and delinquent behavior, connectedness to school, witnessing violence, and poor parenting. Primary caregivers provided information on family income and their education level, marital status, and depression, and the adolescents' academic performance. African American adolescents reported more depressive symptoms than European American participants. Family socioeconomic factors reduced this difference by 29%; all risk factors reduced it by 88%. Adolescents' exposure to violence, antisocial behavior, and low school connectedness, as well as lower parental education and parenting quality, emerged as significant mediators of the group differences in depressive symptoms.