Depression and risky behaviours often co-occur and represent two critical – but often overlooked – public health concerns. This co-occurrence is particularly important during adolescence, a time when individuals make vital decisions with often long-lasting consequences for their health, overall well-being, and life chances. The literature has explored the relationship between depression and risky behaviours mostly among adolescents in high-income countries. Therefore, it is an open question whether these findings can be generalised to low- and middle-income countries, where resources and conditions differ vastly. Examining this relationship is particularly important in low-resource settings, where poverty and everyday stressors may make adolescents even more vulnerable to the negative impacts of depression and risky behaviours. This thesis aimed to contribute to closing this research gap by pursuing four research objectives across five empirical studies. The first objective was to examine predictors of depression in a socio-economically disadvantaged rural community in South Africa, where most of the studies in this thesis are situated.