Depressive symptomatology contributes to morbidity and mortality across the life course. Among factors predicting adolescent depressive symptomatology, it has become increasingly important to identify factors that prevent or minimize it, i.e., protective factors. This study examines protective factors operating in three contextual domains (parental, school-related and individual) that hold promise for explicating their role in the prevention of depressive symptomatology among a non-clinical adolescent population in Hungary. Data from this cross-sectional survey were gathered using self-administered questionnaires from adolescents ( = 881; aged between 14 and 20 years; 44.6% females) from five randomly selected high schools in Szeged, Hungary. Multiple regression analyses revealed that individual level variables (i.e., life satisfaction and optimism) were important predictors of adolescent depressive symptomatology. Among parental variables, social support from the same-sex parents lowered depressive symptoms. In addition, having dinner together with one's family was a significant protective factor for boys, whereas talking about problems with parents was significant for girls. In our study, school-related factors played only a limited role in reducing depressive symptoms; being happy with school was a protective factor only for boys. As a consequence, our findings draw attention to important gender differences in the structuring of protective factors and their role in reducing depressive symptoms, which will likely continue to be an important part of the prevention conversation.