This study examines the relationship between adolescent depressive symptoms and risk and protective factors identified for substance use. A questionnaire, developed to measure these factors in a young person's community, family, school, peer group, and individual characteristics for substance use, was used to assess associations with self-reported depressive symptoms. Data were provided by a representative sample of 8984 secondary school students in Victoria, Australia. The prevalence of depressive symptoms was 10.5% (95% CI 9.2,12.0) for males and 21.7% (95% CI 20.3,23.7) for females. Depressive symptoms were associated with factors in all domains, with the strongest associations in the family domain. Strong relationships were found between the number of elevated risk and protective factors and depressive symptoms, maintained after adjusting for substance use. Patterns of associations were similar for users and nonsubstance users. The findings indicate that prevention programs targeting factors for substance use have the potential to impact on depression.