Adolescent dating and sexual activity are consistently associated with risk for depression, yet the pathways underlying this association remain uncertain. Using data on 1,551 sibling pairs (ages 13–18) from the National Longitudinal Study of Adolescent Health, the current study utilized a sibling comparison design to assess whether adolescent dating, sexual intercourse with a romantic partner, and sexual intercourse with a nonromantic partner were associated with higher levels of depressive symptoms independent of familial factors. Results indicated that adolescent dating, in and of itself, was not associated with depressive symptoms. The association between depressive symptoms and sexual activity with a romantic partner was fully accounted for by between-family genetic and shared environmental confounds. In contrast, sexual activity with a nonromantic partner was significantly associated with both mean levels of depressive symptoms and clinically severe depression, even within sibling dyads. This relationship was greater for younger adolescents (<15 years). These results are consistent with a growing body of research demonstrating that relationship contexts may be critical moderators of the psychosocial aspects of adolescent sexual experiences.