The well-documented higher rates of depression among sexual minority youth are increasingly viewed by developmentalists as a byproduct of the stigmatization of sexual minority status in American society and of the negative impact this stigma has on the processes associated with depression. This study attempted to spur future research by testing Hatzenbuehler's (2009) psychological mediation framework to investigate the ways in which peer harassment related to sexuality puts young people at risk by influencing the cognitive, social, and regulatory factors associated with depression. Analyses of 15 year olds in the NICHD Study of Early Child Care and Youth Development revealed that sexual minority status was largely associated with depressive outcomes via harassment, which was subsequently associated with depression via cognitive and social factors. Results point to various avenues for exploring the importance of the social world and self-concept for the outcomes of sexual minority adolescents in the future. (Contains 2 tables and 2 figures.)