Emerging research suggests that both perceptions of discrimination and internalized racism (i.e., endorsement of negative stereotypes of one’s racial group) are associated with poor mental health. Yet, no studies to date have examined their effects on mental health with racial/ethnic minorities in the US in a single study. The present study examined: (a) the direct effects of everyday discrimination and internalized racism on risk of DSM-IV criteria of past-year major depressive disorder (MDD); (b) the interactive effects of everyday discrimination and internalized racism on risk of past-year MDD; and (c) the indirect effect of everyday discrimination on risk of past-year MDD via internalized racism. Further, we examined whether these associations differed by ethnic group membership. We utilized nationally representative data of Afro-Caribbean (N = 1,418) and African American (N = 3,570) adults from the National Survey of American Life. Results revealed that experiencing discrimination was associated with increased odds of past-year MDD among the total sample. Moreover, for Afro-Caribbeans, but not African Americans, internalized racism was associated with decreased odds of meeting criteria for past-year MDD. We did not find an interaction effect for everyday discrimination by internalized racism, nor an indirect effect of discrimination on risk of past-year MDD through internalized racism. Collectively, our findings suggest a need to investigate other potential mechanisms by which discrimination impacts mental health, and examine further the underlying factors of internalized racism as a potential self-protective strategy. Lastly, our findings point to the need for research that draws attention to the heterogeneity within the U.S. Black population.