Cognitive models have guided effective intervention strategies in the treatment of depression. However, little is known about the cognitive model's relevance in different cultural ethnic groups in the United States. This study examines the cross-sectional and longitudinal associations among cognitive variables and depressive symptoms among African American, Caucasian, and Hispanic adolescents in the United States. Community adolescents (N = 450) ages 14-18 years (African American n = 79; Caucasian n = 273; Hispanic n = 98) provided information regarding their depressive symptoms and cognitions at two surveys, 6 months apart. Self-efficacy, cognitive errors, and hopelessness were associated with concurrent depressive symptoms at baseline. In addition, cognitive errors at baseline, controlling for baseline depressive symptoms and the occurrence of stressful events, predicted depressive symptoms at follow-up. Ethnic differences disappeared when parent education level was controlled. Our findings demonstrate support for the cognitive model of depression across ethnic groups. The importance of controlling for social class when examining ethnic differences in psychological variables is highlighted by our findings.