Self-esteem and depression are fundamental psychological adjustment constructs in the study of adolescent well-being. Most measures of these constructs have been developed and validated using European American samples, and while the correlates and predictors of psychological adjustment have been examined in multiple cultural settings, no existing research explicitly compares the equivalence of measures of self-esteem or depression for contemporary Chinese, Filipino and European American adolescents. Using data from the National Longitudinal Study of Adolescent Health (the Add Health study), this study examines the factorial invariance of self-esteem and depression measures for European American adolescents and the two largest Asian American ethnic groups in the U.S.: Chinese and Filipino Americans. Results indicate strong evidence for invariance of the measure of self-esteem; however, the often-used measure of depression (CES-D) does not satisfy basic tests of measurement invariance for Asian Americans in this sample.