This study was conducted with 418 French-Canadian adolescents from Montreal (Canada) and had three objectives: (1) to find empirical evidence that music listening in adolescence can lead to peer affiliation based upon music preferences; (2) to find out whether three styles of coping by music listening (original self-report scale: emotion-oriented, problem-oriented, and avoidance/disengagement) are related to depression levels in adolescence (French version of the "Beck Depression Inventory:" Bourque & Beaudette, 1982); (3) to examine whether peers' depression levels and coping by music listening are moderators of the relation between Metal music preference and depression levels in adolescent girls. The results of a peer nomination procedure indicated that music preferences and depression levels of participants are related to those of their peers. In girls, problem-oriented coping by music listening is linked to lower depression levels, whereas avoidance/disengagement coping by music listening is linked to higher depression levels. In boys, emotion-oriented coping by music listening is linked to higher depression levels. Finally, Metal music listening is related to higher depression levels in girls only if they affiliate with peers that are more depressed. The implications of the research regarding the music listening and psychosocial development and adjustment in adolescence are discussed. (Contains 4 tables.)