Adolescents' control beliefs were examined as a mediator of the relation between stress and depressive symptoms among a diverse sample of 445 inner-city adolescents. Results indicated that control beliefs significantly mediate the relation between stress and depressive symptoms. The specific direct effects of six individual stress domains (peer, family, school, neighborhood, economic, discrimination) on control beliefs and depressive symptoms were also examined. Results showed that (1) economic stress relates to adolescents' control beliefs, (2) family stress relates to adolescent depressive symptoms, and (3) peer stress relates to both control beliefs and depressive symptoms. Secondary analyses revealed that control beliefs significantly mediate the specific relations between peer stress and depressive symptoms. Results were not found to vary across ethnic groups. The implications of these findings for adolescent mental health and preventive interventions targeting depression are discussed.