Adolescent mothers frequently encounter pregnancy-related stigma which increases their risk for depression and this risk is comparatively greater than for adult mothers. The current study investigated the relationship between stigma and depression in adolescent mothers including the role that household composition played in the adolescents’ experience of stigma and depression. A sample of 85 adolescent mothers, aged 14–18 years, enrolled at multiple sites of a national school program in Jamaica, completed an interviewer-administered questionnaire that assessed different types of perceived stigma, depression risk, and varying forms of household composition for the adolescent mothers. After adapting the Berger’s HIV Stigma Scale for use with adolescent pregnancy, correlational analyses revealed that higher scores on the Personalized Stigma and Negative Self-Image subscales and the overall stigma scale were associated with higher depression scores. Adolescent mothers living in a single-parent household were at increased risk for experiencing stigma while those living in multigenerational households were protected from depression risk. Regression analyses identified exposure to sexual violence during pregnancy as an independent predictor of feeling stigmatized, and depression risk was independently predicted by internalized stigma resulting in a negative self-image. We discuss conceptualizing stigma as heterogenous and bi-directional in its relationship with depression and suggest that more research is needed to evaluate the link between stigma, mental health risk and protective factors for adolescent mothers.