Objectives Asian Americans (AA) are the fastest growing minority population in the United States. Leading AA scholars have highlighted the unmet service needs and the necessity to investigate subgroup variations in the mental health of AAs. This study addressed a research gap of whether racial and ethnic identity (REI) in three AA subgroups (Chinese, Filipino, and Vietnamese) consistently protects against major depressive disorder (MDD), counteracting the deleterious role of discrimination. Method Using the National Latino and Asian American Study (NLAAS), we explored the varying and incremental predictive values of REI, above and beyond the effects of known demographic and acculturation predictors, alongside other potentially protective factors. Results In three sets of two‐step logistic regressions, REI had an inverse relationship with MDD in the Filipino subgroup only but a positive association in the Chinese subgroup. The damaging role of negative REI moderated the effect of discrimination. The longest stay in the United States and discrimination predicted a higher likelihood of a MDD diagnosis in the Filipino subgroup. Social support contributed to the lower odds of MDD in Chinese and Vietnamese subgroups, had lower odds of having MDD, and religious attendance may act as a protective factor in the Vietnamese subgroup. Conclusion Our findings do not reinforce uniform protection of REI but lend partial support for two underlying rationales. Based on cultural psychologists’ framework, inconsistent findings are interpreted within the sociocultural contexts of the 3 subgroups.