This study investigated the contribution of assimilation, sociodemographic factors, and social supports to depressive symptoms in immigrant adolescents, using Waves I and II of the National Longitudinal Study of Adolescent Health (N = 4,263). Immigrant adolescents reported more risk factors and higher levels of depressive symptoms than native peers. However, generational status ceased to be a correlate of depressive symptoms when sociodemographic variables were controlled. Findings challenge assimilation theories premised on the assumption that immigrants face unique migration-related challenges. Immigrant adolescents are vulnerable due to greater likelihood of increased age, a racial/ethnic minority status, and lower socioeconomic status. They are also at a comparative disadvantage for social supports. Stress and supports were identified as mediators with unique relationships to sociodemographic factors. Assimilation theory, social network theory, and an ecological perspective informed the study.