The present study compared native Austrian, first and second generation immigrant adolescents regarding their level of depressive symptoms, critical live events, and daily hassles. Furthermore, the associations between these constructs were tested in the three groups. The sample comprised 330 native Austrian (52.1% girls), 120 first generation immigrants (49.2% girls and 159 second generation immigrants (54.2% girls) aged 14-19 (M=15.61). Compared with native adolescents, first generation immigrant adolescents reported more depressive symptoms and daily hassles related to parents, the self, leisure, romantic partner, and future, whilst second generation immigrant adolescents reported more daily hassles related to parents, school, and romantic partner. Controlling for gender, multiple group structural equation models revealed that daily hassles fully mediated the path between critical live events and depressive symptoms in all three groups of adolescents. Implications for future research on immigrant adolescents' psychological well-being are discussed.