BACKGROUND Although depression is known to be associated with adolescent sexual risk-taking, Canadian studies are few, many have lacked appropriate controls and none has examined the associations of depression with multiple sexual risk-taking behaviours. We tested associations between multiple sexual risk-taking and risk of depression, controlling for other factors, including social capital, in high school students in Nova Scotia, Canada. METHODS We surveyed sexually active male (n=418) and female (n=467) adolescents. Participants were asked about their risk of depression, perceptions of social capital, substance use, sociodemographic factors and sexual behaviours. Multinomial logistic regressions were used to determine associations of risk of depression with various levels of sexual risk-taking. RESULTS In unadjusted models, risk of depression was associated with two or more v. no sexual risk behaviours among both males and females. After controlling for other variables, risk of depression remained significantly associated with two or more sexual risks v. no risks for both females and males (relative risk ratios (RRR) of 2.5; 95% confidence interval (CI) 1.4-4.5 and 3.5; 95% CI 1.6-7.82 respectively) and for one v. no risks for females (RRR=1.9; 95% CI 1.1-3.5). One measure of social capital was associated with multiple risks in females. CONCLUSIONS The consistent, independent associations of risk of depression with multiple sexual risks should lead health care workers interacting with adolescents to ask about sexual risk behaviours among patients with symptoms of depression. Alternatively, patients who engage in sexual risk-taking might be screened for depression.