The study aimed to compare cross-cultural trends of comorbid internalizing and externalizing psychopathology, prosocial beliefs, and perceptions of risk in adolescents with and without clinical levels of self-reported depressive symptoms. The Social and Health Assessment, a self-report survey, was conducted in a representative sample of 3309 adolescents 14 to 17 years old from urban communities in the United States (N = 1343), Belgium (N = 946), and Russia (N = 1009). In all three countries, girls reported higher levels of depressive symptoms than boys. The findings also demonstrate that in both genders, depressive symptoms were associated with increased levels of internalizing and externalizing problems, as well as lower levels of prosocial beliefs and low perceptions of harm from risk-taking behavior. Depressed boys had relatively higher levels of externalizing problems than depressed girls. Greater levels of internalizing problems observed in depressed youth, as compared with their nondepressed counterparts, were not gender-specific. Current findings suggest that the relationships between depression and comorbid psychopathology are not culture-specific and have similar patterns in different populations.