Drawing on Agnew’s general strain theory, we examined whether depressed mood and anger mediated the effects of sexual abuse on suicidal behavior and delinquency. Participants included 9,113 students attending high schools in Iceland. Structural equation modeling showed that, while controlling for family structure and parental education, being exposed to strain in the form of sexual abuse was positively related to both depressed mood and anger. The effects of sexual abuse on suicidal behavior of both boys and girls were twice as strong through depressed mood as through anger. The effects of sexual abuse on outwardly-directed forms of delinquency for both genders were stronger through anger than through depressed mood. These findings highlight the complex nature of the effects of strain on adolescents’ emotions and behavior. Moreover, they show that depression—in contrast to outwardly-directed delinquency, where feelings of anger are predominantly influential—is more relevant than anger to suicidal behavior.