In Mexico violence across the country has increased in recent years and has become a social problem of great importance. The continuous exposure to all types of interpersonal violence leads adolescents to cope with experiences and challenges of great risk of development deviations. Trying to find a more comprehensive understanding of violence outcomes on Mexican adolescents and its moderators, the present quantitative, non-experimental, cross-sectional correlation study was performed. Parental support (vs. other sort of social support) was proposed to be a relevant moderator factor for decreasing the negative outcomes of violence exposure on depression, and gender was predicted to play a role in this process. A two-way interaction between violence exposure and parental support was only significant in the case of adolescent girls, whereas there was no evidence of such moderation for adolescent boys. The effect of exposure to violence on girls’ depression was stronger when their parental support was relatively low than when their parental support was relatively high. Parental support may serve as a protective factor of depression after violence exposure especially for girls, whereas more research should be conducted in order to detect an efficient protective mechanism for boys who are exposed to violence.