Although there have been a number of studies examining depression among Latinos, and Mexican Americans in particular, there is still a modest understanding of Latino subgroup variation. Research on Latinos and depression typically focuses on clinical samples or nonrandom samples in specific cities. Using 1994 data from the National Survey of Family and Households, we evaluate whether factors typically associated with depression operate similarly for a nationally representative sample of Puerto Ricans, Mexicans and non-Hispanic whites. Our multivariate analyses reveal that ethnic group membership moderates the relationship between nativity, gender and depression. Being born in the Continental U.S. has a negative effect on depression for Puerto Ricans. For Mexicans, it has a positive effect on depression. For all racial/ethnic groups, men are less depressed than women. However, the results reveal that the gender gap in depression is greater for Mexicans and Puerto Ricans than it is for non-Hispanic whites.