Depression is a serious mental health concern among adolescents. Violence exposure is a potent risk factor for depression. Social support may help reduce depression risk, even when adolescents are exposed to violence. Using a compensatory model of resilience, we investigate the influence of violence exposure and social support on depression over time in a sample of urban youth during the high school years (N = 824, 52% female, mean age Year 1 = 14.9). We used growth curve modeling to examine depressive symptoms across adolescence and its association with violence exposure and social support, accounting for important sociodemographic characteristics (sex, socioeconomic status, and race/ethnicity). Depressive symptoms on average increase from Year 1 to 2 of high school and then are stable or decline from Years 2 to 4. Violence observation and conflict in the family were each associated with increased depressive symptoms during the high school years. Mother support was associated with decreased depressive symptoms over time. Our results support a compensatory model of resilience. Promoting positive parent-child communication among urban youth living in disadvantaged contexts may help reduce the probability that exposure to violence will result in depressive symptoms.