We examine whether self-esteem and depressive symptoms influence sexual onset when important controls such as age, dating, race, and income are examined. Analyses are based on the first two waves of the restricted-use sample of the National Longitudinal Study of Adolescent Health. We examine adolescents who reported at wave 1 that they had not had sexual intercourse. Using logistic regression models run separately for males and for females, we find that depressive symptoms, when entered simultaneously, exert a greater effect than self-esteem on sexual onset. Depressive symptoms have less effect on sexual onset for African-American girls than for white girls. Higher self-esteem is associated with greater likelihood of sexual debut at older ages for boys. Our findings suggest that although many positive benefits of self-esteem have been suggested, the conceptual and empirical link between depressive symptoms and adolescent sexual onset may be more crucial. (Contains 5 tables.)