Background: This study examined the association between participation in school-based and/or community-based activity and major depressive episodes (MDE) in adolescents using nationally representative data. Methods: This study utilized cross-sectional data from the National Survey of Drug Use and Health from 2015 to 2019. Nine screening questions determined the presence of past-year MDE in adolescents ages 12-17 (n = 67,033). Participants indicated past-year participation in school-based (eg, team sports, cheerleading, choir, band, student government, or clubs) and/or community-based activities (eg, volunteer activities, sports, clubs, or groups). Sociodemographic variables included sex, race/ethnicity, family income, and age. Descriptive statistics, univariable and multivariable regression analyses were conducted. The multivariable model included interaction terms between age and sex, and age and race/ethnicity. Results: Overall, 14% of the sample met the criteria for having MDE. The odds of MDE increased with age. Joint effects of age and sex, and age and race/ethnicity significantly influenced the association between MDE and school- or community-based activities. Participation in 1+ community-based activities was protective for MDE across all races/ethnicities. Conclusions: Findings help illuminate the direct association of school- and community-based activity participation on MDE risk in adolescents, improving our understanding of MDE across various sociodemographic subgroups in an adolescent population. Schools should aim to facilitate equitable programming and endorse adolescent participation in multiple activities throughout the year. Schools should examine the resources available and consider partnerships that would bolster resources, access, and social capital throughout the community.