Depression among adolescents has been recognized as a major public health issue. The objective of this study was to determine the prevalence and correlates of depression among school-going adolescents in Malaysia. Data from the Malaysia Global School-based Health Survey (GSHS) 2012 were analyzed with additional data from the validated DASS21 (Depression, Anxiety, and Stress) questionnaire. The study revealed that 17.7% of respondents had depressive symptoms. Multivariate analysis further showed that feeling lonely (adjusted odds ratio [aOR] = 2.99; 95% CI = 2.57-3.47), Indian ethnicity (aOR = 2.00; 95% CI = 1.63-2.44), using drugs (aOR = 1.85; 95% CI = 1.21-2.82), and being bullied (aOR = 1.79; 95% CI = 1.60-1.99) were significantly associated with depressive symptoms. Lack of parental supervision, alcohol use, and tobacco use were also significant risk factors. Addressing depressive symptoms among adolescents may have implications for managing their risks of being bullied and substance use. This study also highlights the need to further investigate depressive symptoms among adolescents of Indian ethnicity.