Background: In examining associations of sexual orientation, school connectedness (SC), and depression, no studies have used a continuum of sexual orientation. Additionally, no study has examined whether individuals with higher SC within subgroups of the continuum of sexual orientation are protected from symptoms of depression when compared to others within their own group. Our study aimed to address these deficiencies. Methods: Data were from a cross-sectional survey of 6643 public high school students. Logistic regression was used to determine if higher SC was associated with protection from symptoms of depression comparing students with minority sexual orientations to heterosexual students, and whether SC was protective within subgroups of orientation. Results: Mean SC scores were higher in heterosexuals than in all other orientation subgroups. Except for bisexual boys, compared with being heterosexual, being in other subgroups of orientation was associated with symptoms of depression, independent of SC. In both sexes SC was protective against depression risk within all categories of orientation except mostly/100% homosexual girls. Conclusions: Within all subgroups of sexual orientation except mostly/completely homosexual girls, SC was protective for symptoms of depression, indicating its potential importance for prevention of depression in all students, including perhaps particularly those with minority orientation.