Using the stress process model, the relationship between pregnancy and depressive symptoms among adolescent girls was investigated. This model posits that stress resulting from social location and related disruptive life events may indirectly affect health by eroding coping, mastery, or social support mechanisms. The effect of low income, minority status and pregnancy on coping processes in adolescent girls was hypothesized and tested. Communication with parents, involvement in activities, and success in school were examined as positive coping strategies. Smoking tobacco, heavy alcohol use, and drug use were examined as negative coping. Data from the National Survey on Drug Use and Health were analyzed. After combining the available cases from the 2006, 2007, and 2008 datasets, selecting girls aged from 12 to 17 years, and removing missing cases; the sample consisted of a total of 22,854 adolescents. A series of binary logistic regression models were estimated. Findings included that coping strategies partially mediate the relationship between pregnancy and depressive symptoms. In particular, success in school, smoking tobacco, and drug abuse played a mediating role. When coping was accounted for, the relationship between pregnancy and depressive symptoms was reduced and became only marginally significant. Implications of the study include a focus on policy that promotes early intervention assisting at-risk adolescents with the development of coping strategies that may help them adjust to unexpected life events, such as pregnancy.