Purpose: Although the link between depression and lower levels of mastery is well established, limited information exists on ethnic and gender differences in the association between the two. The current study investigated ethnic, gender, and ethnic by gender differences in the link between major depressive disorder (MDD) and low mastery in the United States. Methods: We used data from the National Survey of American Life-Adolescent supplement (NSAL-A), 2003–2004. In total, 1170 Black adolescents entered the study. This number was composed of 810 African-American and 360 Caribbean Black youth (age 13 to 17). Demographic factors, socioeconomic status (family income), mastery (sense of control over life), and MDD (Composite International Diagnostic Interview, CIDI) were measured. Logistic regressions were used to test the association between mastery and MDD in the pooled sample, as well as based on ethnicity and gender. Results: In the pooled sample, a higher sense of mastery was associated with a lower risk of MDD. This association, however, was significant for African Americans but not Caribbean Blacks. Similarly, among African American males and females, higher mastery was associated with lower risk of MDD. Such association could not be found for Caribbean Black males or females. Conclusion: Findings indicate ethnic rather than gender differences in the association between depression and mastery among Black youth. Further research is needed to understand how cultural values and life experiences may alter the link between depression and mastery among ethnically diverse Black youth.