Depressive symptoms are the top mental health disorders which affect youths in South Africa. Mental health studies have often focused on the average effect of predictors on youth depressive symptoms, overlooking the possibility that these effects may differ across the distribution of depressive symptoms. Our study goes beyond averages by examining depressive symptoms of the youth population in South Africa across different quantiles using quantile regression. Five waves of data from the National Income Dynamics Study (NIDS) of youths aged 15–34years old were used. Depressive symptoms were measured using the short 10-item version of the Centre for Epidemiological Studies Depression Scale (CES-D 10). Age, having a loan from a loan shark, smoking, and residing in urban areas were positively associated with higher depression scores. The strength and statistical significance of the relationships were not static but were heterogeneous across different quantiles of depressive symptoms. The findings highlight the importance of considering heterogeneity in mental health research underscoring the importance of addressing specific socioeconomic and environmental factors in mental health strategies to effectively support the mental well-being of South Africa’s youth.