Working within the framework of a confirmatory factor analytic (CFA) model, this study adds another dimension to construct validation of both the Beck Depression Inventory-II (BDI-II; Beck, Steer, & Brown, 1996) and a Chinese version of the BDI-II (C-BDI-II; Chinese Behavioral Sciences Society, 2000). Specifically, we tested for measurement equivalence of the C-BDI-II with the original BDI-II across Hong Kong (N = 1771) and American (N = 501) adolescents, respectively. Provided with evidence of measurement equivalence, we then tested for differences in the latent factor means (i.e., subscale levels) of three first-order factors of negative attitude, performance difficulty, and somatic elements and one second-order factor of general depression. All procedures were based on analyses of mean and covariance structures (MACS) that took into account both the incompleteness and non-normality of the data. Findings revealed sound evidence of measurement equivalence of the C-BDI-II and BDI-II factorial structures, and latent factor means that pointed to higher levels of depressive symptoms for Hong Kong adolescents than for their American counterparts.