Background: We use the Global Multidimensional Poverty Index (MPI) to explore how different dimensions of poverty more directly linked to young people are associated with depressive symptoms among South African youth. Methods: Data came from the 2017 wave of the nationally-representative National Income Dynamics Study (NIDS) in South Africa. We focused on a sample of 15–24-year-olds whose depressive symptoms were assessed using an adapted version of the 10-item Centre for Epidemiological Studies Depression Scale. We examine how individual dimensions and indicators of the MPI relate to depression, in comparison to more conventional measures, including household income, subjective social standing, overcrowding and personal assets. Cross-sectional analyses were adjusted for clustering to account for sampling design. Results: The MPI index was not associated with probable depression (OR = 1.02, 95 % CI 0.81–1.29). Only lack of access to the labour market emerged as a key individual dimension associated with probable depression (OR = 5.29, 95 % CI 1.70–16.47), a relationship driven by an increased odds for those not in employment, education or training. Lack of household assets, living in an informal dwelling and lower perceived social standing were also associated with increased odds for depression. No gender differences were noted. Limitations: The study is cross-sectional and not suitable to examine the causal nature of the association between multidimensional poverty and depression. Conclusions: Poverty dimensions that measure youth's access to employment or training have a strong association with depression. Further research is needed to assess whether improved access to employment or training contributes to improving mental health among young South Africans.