Depression is one of the most common psychological disorders that affect adolescents. In this study, we investigated how depression in adolescents relates to social support, religiosity, and spirituality in multivariate analyses. We also investigated whether age, gender and ethnicity are predictors of depression among adolescents in a faith-based high school. We measured social support using the Child and Adolescent Social Support Scale (CASSS), religiosity with the Duke University Religion Index (DUREL); spirituality with the Spiritual Well-Being Scale (SWBS); and depression with the Center for Epidemiological Studies Depression Scale for Children (CES-DC). Results of the bivariate analyses showed a significant negative association between depression and social support, religiosity, and spirituality (p < 0.05). In the multiple regression analyses, religiosity was positively related to adolescent depression (r = 0.121, p < 0.05), while spirituality (r = −0.548, p = 0.00) was negatively related to depression in adolescents. The study found significant gender differences only in religiosity, while significant ethnic differences were only found in social support. Implications to education, practice, research and future directions of study are discussed.