Background The current lifetime prevalence of depression among females in Mexico is 9.1% and 2.9% among males. The overall lifetime prevalence of depression is 6.2% among the general population of Mexico. Individuals that experience depressive symptomology at a young age are more likely to experience a depressive episode later in life. The risk of recurrence 24 months after the first episode of depression is 37.3%. There is scarce information about the prevalence of depression among adolescents in Mexico. However, a study of adults in Mexico City by Benjet et al. found that 2.8% of females and 1.1% of males experienced a depressive episode during adolescence. Research indicates that adolescents are especially vulnerable to mental and physical health problems. During the developmental transition, females are more vulnerable to these problems than males, including depression. The ways in which adolescents adapt and become adults can either protect or put them at risk for depressive symptomology and subsequent mental and physical disorders. The act of disclosure (talking to a confidant), which involves the sharing of personal thoughts and ideas with others, is an important mechanism through which adults and children form intimate relationships and develop good mental health. Objectives The objective of this study was to determine the association between type of confidant and depressive symptomology, and to identify some potential risk and protective factors of depression, including differences by gender, among a sample of Mexican youth. We hypothesized that not having a confidant would be associated with greater levels of depressive symptomology, and that this would differ by gender. Methods We used cross-sectional data obtained from 1,079 youths and adolescents aged 11 to 20 who were recruited to participate in the Health Worker Cohort Study (HWCS) between the years of 2004 and 2006. The HWCS included children and relatives of workers from the Instituto Mexicano del Seguro Social (IMSS) in Morelos and from Instituto Nacional de Salud Pública, both located in Cuernavaca. Participants were also selected from a similar sample of workers from the Universidad Autónoma del Estado de México (UAEM) in Toluca, capital of the State of Mexico. The participants from all three study sites are being followed in an ongoing cohort study of lifestyle and health. A self-reported questionnaire was administered to obtain information on lifestyle factors, socio-demographic data, health status, and quality of life. Bivariate and multivariate analyses were conducted to determine the association between confidant type and levels of depressive symptomology while controlling for demographic factors. Stratified analyses were also carried out, as it was hypothesized that the effect of disclosure to a confidant would vary by gender. Results In our study population, males had significantly lower levels of depressive symptomology than females; the mean BDI score for males was 5.6 and for females it was 8.7. Among both males and females, having only peer confidants is associated with higher levels of depressive symptomology, and having family confidants is associated with lower levels of depression. Males with peer confidants have the highest levels of depressive symptomology followed by those with no confidants, and those with family and peer confidants, as compared to males who reported having only a family confidant. Females with no confidant or with only peer confidants have higher levels of depressive symptomology than females with only family confidants. Among females, depressive symptomology increases with age, with females aged 17-20 having the highest levels of depressive symptomology. Financial symptomology predicts depressive symptomology among both males and females. Conclusions Our study shows that having a family member to talk to may be a protective factor against depressive symptomology among this sample of Mexican youth. Adolescents with a family confidant were found to have significantly lower levels of depressive symptomology than those who have only peer or no confidants. In the transition to adulthood, the presence of a family confidant positively influences the emotional well-being of boys and girls. Interventions that address the different disclosure needs of male and female adolescents may help reduce or prevent depressive symptomology among this population.