Low‐income, urban adolescents are exposed to extremely high rates of witnessing and being victimized by community violence. Such violence exposure presents serious implications for youth's development and psychological well‐being. In a sample of 223 ninth‐grade Latino adolescents, we examine: (1) what types of after‐school activity participation increase or reduce adolescents' risk for violence exposure and (2) the role of the cultural value of familismo in moderating the impact of violence exposure on adolescents' psychological well‐being. Our results indicate that spending unstructured leisure time with peers and participating in non‐school sports and non‐school clubs were associated with higher levels of community violence exposure, whereas adhering to the cultural value of familismo was associated with lower levels of violence exposure. Additionally, familismo moderated the positive association between violence exposure and depressive symptoms, but not posttraumatic stress disorder symptoms. Implications of these results are discussed.