Adolescence is a developmental period during which boys and girls are at high risk of developing major or minor depression. Increases in fitness have been associated with lower levels of depressive symptomatology and improvements in psychological well-being, yet the mechanisms that underlie this relationship have not been thoroughly examined. Three such psychosocial variables (i.e. body satisfaction, social physique anxiety, and physical activity self-efficacy) have been identified as possible mechanisms and although they have theoretical support, additional research is needed to demonstrate empirically the potential effects of these variables. Self-report measures were used to assess the psychosocial variables and the Progressive Aerobic Cardiovascular Endurance Run (PACER) in conjunction with age, Body Mass Index [BMI], and sex was used to determine an estimate of aerobic capacity (VO2max). Path analyses were used to test the proposed model using version 6.2 EQS Multivariate Software. Results of study revealed that the boys’ and girls’ depressive scores were determined based on the extent that their fitness levels improved their satisfaction with their bodies and lowered the anxiety they experience in relation to real or imagined judgments of their physique. Although all pathways in the model were significant, with the exception of physical activity self-efficacy to depression, differences emerged between the boys and girls in terms of the strength of some of the relations amongst the variables. Limitations include restricted generalizability, self-report measures, and cross-sectional design. Results have implications for individuals in a context intended to improve physical and psychosocial well-being of adolescents.