The incidence of depression among adolescents has gradually increased, leading to adult psychological outcomes and suicide. Although the rate of secondhand smoke exposure (SHSE) has recently decreased, SHSE remains high in children. We aimed to determine the association between depressive symptoms in adolescents and the locations of SHSE using an extensive population survey. Using data from the 14th Korea Youth Risk Behavior Web-based Survey, we assessed self-reported data of depressive symptoms and SHSE among non-smokers. SHSE locations were classified into four groups: only at school, only at home, at both school and home, and other places. Multiple logistic regression analysis was performed to identify the associations between SHSE locations and depressive symptoms. The relationship between SHSE and depressive symptoms was the highest in the “SHSE at home and school” group (boys: odds ratio [OR] = 1.61, 95% confidence interval [CI] = 1.44–1.80; girls: OR = 1.72, 95% CI = 1.54–1.91), followed by the “school” (boys: OR = 1.53, 95% CI = 1.39–1.67; girls: OR = 1.36, 95% CI = 1.25–1.48) and “home” groups (boys: OR = 1.23, 95% CI = 1.12–1.35; girls: OR = 1.30, 95% CI = 1.20–1.40). These results emphasize the importance of stricter smoking regulations not only in public places, but also in households. Adolescents and their families should be educated on the dangers of smoking and the effects of SHSE on mental health.