Adolescence is a vulnerable period which is associated with a heightened risk for the development of depressive disorders. Risk-behaviors like alcohol or illicit drug abuse, excessive use of media, school absenteeism and lack of sleep are also frequently occurring during this period; it is often suggested that such behaviors may be associated with mental health problems. This article includes a selective overview of literature to investigate the relation between depression and risk-behavior in adolescence; these results are compared with the results from a representative sample of German pupils who were examined in the context of the European school study SEYLE. Data from a school-based sample of 1,434 pupils with a mean age of 14.7 years (SD = 0.8) was used. Most risk-behaviors tend to be associated with increased likelihood for the development of depression and are correlated with the severity of depressive symptomatology. In this sample, alcohol abuse, smoking, media use, lack of physical activity, risky sexual behavior, school absenteeism, and sleeping problems showed an impact on the level of depression which was consistent with previous research. Illicit drug abuse showed no significant impact on depressive symptoms of young people. Further longitudinal studies are necessary to elucidate the directional relationship between depression and risk behavior in adolescence. The potential value of adolescent risk-behavior as a possible warning sign for early detection of depressive symptoms also warrants further investigation.