Background: Adolescent depression has been recognized as a complex problem that presents a global public health challenge. Left undetected and untreated, depression can significantly reduce quality of life. Objective: The main purpose of this paper is to re-visit risk and protective factors for depression in adolescents with a specific focus on exploring the individual, familial, and social contexts of depression (especially high and very high depression levels) in a multi-country sample of youth in order to see if these factors are mitigated by cultural location. Methods: Questionnaire data from a cross-sectional study of a randomly selected sample of 5149 middle-school students from four EU-countries (Austria, Germany, Slovenia, and Spain) was used. Applying variance analysis, we examined the prediction strength for the observed risk and protective factors. Results: In all participating countries we show that in for both male and female adolescents, depression is linked to a broad range of interactive individual, and social protective and risk factors, such that even if the contribution of a single factor is low but still significant and this factor's prediction strength is low or moderate, taken together, the cumulative prediction strength of these factors yields a remarkably similar coefficient of determination of 42-49% in all samples. Conclusions: We have established a significant and relevant combination of the individual and social multifactorial risk and protective factors that characterize depression in adolescents of both genders, no matter their country of location and with that, we call for a multifaceted and comprehensive approach to mental health assessment, prevention and intervention.