The relationship between cognitive self-regulatory processes and depression was examined in American Indian adolescents from a Northern Plains tribe. Students completed measures of negative life events, self-efficacy, goals, and depressive symptoms. Results indicated that academic self-efficacy was strongly associated with depression. Academic self-efficacy also correlated with intrinsically motivating goal representations, such that students who indicated high academic self-efficacy had goals that were more important to them, goals they thought more about, and goals they viewed as wanted by the self instead of as imposed on by others. However, we did not find the hypothesized mediational model in which academic self-efficacy influenced depression indirectly by influencing goal characteristics. Rather, this indirect model varied by grade, and differed from what we expected. Specifically, for older adolescents, higher levels of academic self-efficacy predicted goals that were more likely to be identified as the adolescent's own, and in turn, these self- as opposed to other-oriented goals predicted higher levels of depressive symptoms. Results are discussed as providing support for continued investigations into the role of specific cognitive self-regulatory processes in youth adjustment.