Although previous research has found that sexually active teens are more likely to suffer from depression, it is not clear whether this association is causal or spurious in nature. This study uses data from the National Longitudinal Study of Adolescent Health to examine whether virginity status affects self-esteem and depression. For males, fixed effects and instrumental variables (IV) estimates provide little evidence that sex is causally related to psychological well-being. In contrast, IV estimates indicate that sexually active female adolescents are at increased risk of exhibiting the symptoms of depression relative to their counterparts who are not sexually active. Comparing the psychological well-being of females who used contraception at last intercourse with that of virgins suggests that these effects may be ameliorated, but not eliminated, by contraceptive use.