Depressive symptomatology is one of the most common and costly threats to American mental health, making the elucidation of environmental influences on depressive symptoms particularly important. Using the National Longitudinal Study of Adolescent Health, this study explores the interaction between environmental risk and protective factors in the etiology of depressive symptoms by asking whether school connection is associated with lower levels of depressive symptoms through early adulthood, and whether connection serves as a protective or promotive factor for youth who experienced early adversity. Findings highlight the importance of school connection in promoting long‐term mental health for all youth and suggest that policies and practice supporting school connection may be effective intervention strategies for youth at risk for depressive symptomatology.