There is growing evidence that Mexican-American adolescents may be at increased risk for depressive symptoms. We sought to replicate and explain this result in a study of adolescent girls attending an obstetric-gynecologic clinic. Three hundred and four girls of diverse ethnic backgrounds completed measures of depressive symptoms, negative attributional style, and locus of control. Consistent with predictions, we found that Mexican-American adolescent girls reported more depressive symptoms than adolescent girls from other ethnic backgrounds, and that Mexican-American adolescent girls displayed more negative cognitive styles than girls from other ethnic backgrounds. Depression differences appeared to be partly explained by differences in negative cognitive style. Implications of the results for a theory of increased Mexican-American adolescent depression, and for applied work, were discussed.