The current study examines individual-, social-, and school-level characteristics influencing symptoms of depression and self-esteem among a large sample (N = 4,321) of U.S. youth living in two rural counties in the South. Survey data for this sample of middle-school students (Grade 6 to Grade 8) were part of the Rural Adaptation Project. Data were analyzed using ordered logistic regression. Results show that being female, having a low income, and having negative relationships with parents and peers are risk factors that increase the probability of reporting high levels of depressive symptoms and low levels of self-esteem. In contrast, supportive relationships with parents and peers, high religious orientation, ethnic identity, and school satisfaction increased the probability of reporting low levels of depressive symptoms and high levels of self-esteem. There were few school-level characteristics associated with levels of depressive symptoms and self-esteem. Implications are discussed.