Depression is a major cause of disease burden and is linked to poor quality of life (QOL) among adolescents. We examined the roles of sexual behaviors, HIV risk perception, and anticipated HIV stigma on depressive symptomatology and QOL among 4096 adolescents in a rural region of western Kenya with a high burden of HIV. Participants were aged 15–19 years, had not been tested for HIV in the previous 6 months, and had never been diagnosed with HIV. Anticipated stigma and risk perception were directly associated with depressive symptomatology and QOL. There was evidence of small indirect effects—through stigma—of risk perception on depressive symptomatology and QOL. Gender moderated relationships between sexual behavior and risk perception, depressive symptomatology, and QOL. Results suggest that developing effective gender-based interventions to address stigma, sexual behavior, and risk perception may be important for improving adolescent well-being in high HIV prevalence contexts.